Search Results - subject:"Disappointment aversion"

Growth uncertainty, generalized disappointment aversion and production-based asset pricing

Liu, Hening; Miao, Jianjun - In: Journal of monetary economics 69 (2015), pp. 70-89

Persistent link: https://www.econbiz.de/10011326683

Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences

Campanale, Claudio; Clementi, Gian Luca; Castro, Rui - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2008

In this paper we provide a thorough characterization of the asset returns implied by a simple general equilibrium production economy with convex investment adjustment costs. When households have Epstein-Zin preferences, there exist plausible parametervalues such that the model generates...

Persistent link: https://www.econbiz.de/10005731200

Asset Pricing in a Production Economy with ChewÐDekel Preferences

Campanale, Claudio; Castro, Rui; Clementi, Gian Luca - Rimini Centre for Economic Analysis (RCEA) - 2007

In this paper we provide a thorough characterization of the asset returns implied by a simple general equilibrium production economy with convex investment adjustment costs. When households have EpsteinÐZin preferences, there exist plausible parameter values such that the model generates...

Persistent link: https://www.econbiz.de/10005091104

Consistency, Heterogeneity, and Granularity of Individual Behavior under Uncertainty

Choi, Syngjoo; Fisman, Raymond; Gale, Douglas; Kariv, … - School of Social Science, Institute for Advanced Study - 2007

By using graphical representations of budget sets over bundles of state-contingent commodities, we generate a very rich data set well-suited to studying behavior under uncertainty at the level of the individual subject. We test the data for consistency with the maximization hypothesis, and we...

Persistent link: https://www.econbiz.de/10005163098

Pricing and capacity rationing with customer disappointment aversion

Liu, Qian; Shum, Stephen - In: Production and operations management : an international … 22 (2013) 5, pp. 1269-1286

Persistent link: https://www.econbiz.de/10010202079

Probability and Risk: Foundations and Economic Implications of Probability-Dependent Risk Preferences

Fehr-Duda, Helga; Epper, Thomas - In: Annual Review of Economics 4 (2012) 1, pp. 567-593

A large body of evidence has documented that risk preferences depend nonlinearly on outcome probabilities. We discuss the foundations and economic consequences of probability-dependent risk preferences and offer a practitioner's guide to understanding and modeling probability dependence. We...

Persistent link: https://www.econbiz.de/10010604253

Choice Shifts in Groups

Eliaz, Kfir; Ray, Debraj - Econometric Society - 2004

The phenomenon of "choice shifts" in group decision-making is fairly ubiquitous in the social psychology literature. Faced with a choice between a ``safe" and ``risky" decision, group members appear to move to one extreme or the other, relative to the choices each member might have made on her...

Persistent link: https://www.econbiz.de/10005342195

Myopic loss aversion, disappointment aversion, and the equity premium puzzle

Fielding, David; Stracca, Livio - 2003

loss aversion (Benartzi and Thaler, 1995) and disappointment aversion (Ang, Bekaert and Liu, 2000). The paper proposes a … simple specification of loss and disappointment aversion and brings these theories to the data. The main conclusion of the … loss aversion, while reasonable values for disappointment aversion are found also for long investment horizons. So, stocks …

Persistent link: https://www.econbiz.de/10011604249

Myopic loss aversion, disappointment aversion, and the equity premium puzzle

Fielding, David; Stracca, Livio - European Central Bank - 2003

Persistent link: https://www.econbiz.de/10005816204

A Structural Analysis of Disappointment Aversion in a Real Effort Competition

Gill, David; Prowse, Victoria - Economics Group, Nuffield College, Department of Economics - 2011

Moments to estimate the strength of disappointment aversion on average and the heterogeneity in disappointment aversion across …

Persistent link: https://www.econbiz.de/10008783611