Asymmetric reaction is rational behavior

详细信息    查看全文

• 作者：Philip A. Horvath ; Amit K. Sinha
• 关键词：Loss aversion ; Regret aversion ; Sign effect ; Utility theory ; Valence ; Risk preference ; Moments ; Risk premia
• 刊名：Journal of Economics and Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：41
• 期：1
• 页码：160-179
• 全文大小：
• 刊物主题：Economics, general; Macroeconomics/Monetary Economics//Financial Economics; Finance, general;
• 出版者：Springer US
• ISSN：1938-9744
• 卷排序：41

文摘

De Bondt and Thaler (Int J Fore 9(3):355–371, 1995) point out that while von Neumann-Morgenstern (1947) utility functions, the axioms of cardinal utility (Copeland and Weston 1988), risk aversion, rational expectations, etc., have formed the basis for theories of choice under uncertainty, research in behavioral science, has either challenged these foundations or outright rejected them. Requiring investors to be utility maximizers, and using an approach similar to Scott-Horvath (J Financ 35(4):915–9¸1980), and arguing investors’ to have different utility for partial upper and partial lower moments, this paper proves that loss, regret, and myopic loss aversion and sign effects, is in fact central to understanding of rational behavior.