Abstract

http://ssrn.com/abstract=262114
 
 

Citations



 


 



Mental Accounting, Loss Aversion, and Individual Stock Returns


Nicholas Barberis


Yale School of Management; National Bureau of Economic Research (NBER)

Ming Huang


Cornell University - Samuel Curtis Johnson Graduate School of Management


Journal of Finance

Abstract:     
We study equilibrium firm-level stock returns in two economies: one in which investors are loss averse over the fluctuations of their stock portfolio and another in which they are loss averse over the fluctuations of individual stocks that they own. Both approaches can shed light on empirical phenomena, but we find the second approach to be more successful: in that economy, the typical individual stock return has a high mean and excess volatility, and there is a large value premium in the cross-section which can, to some extent, be captured by a commonly used multifactor model.

Accepted Paper Series





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Date posted: May 23, 2001  

Suggested Citation

Barberis, Nicholas and Huang, Ming, Mental Accounting, Loss Aversion, and Individual Stock Returns. Journal of Finance. Available at SSRN: http://ssrn.com/abstract=262114

Contact Information

Nicholas Barberis (Contact Author)
Yale School of Management ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-436-0777 (Phone)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Ming Huang
Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )
Ithaca, NY 14853
United States
607-225-9594 (Phone)
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