-by-minute trading observations from over 864,000 price realizations in a natural field experiment, we find data patterns consonant with …

magnitude of the equity premium within the usual economics paradigm because the level of risk aversion necessary to justify such …-term investment goals such as saving for retirement or managing a pension plan. We dub this combination 'myopic loss aversion'. Using …

aversion and narrow framing, two well-known features of decision-making under risk in experimental settings. In equilibrium …, models that incorporate these ideas can generate a large equity premium and a low and stable risk-free rate, even when …

The theory of expected utility maximization (EUM) explains risk aversion as due to diminishing marginal utility of … subjects often appear to be too risk averse with regard to small gambles (while still accepting sufficiently favorable large … imprecise (and noisy) mental representation of the decision situation. In this model, risk aversion is predicted without any …

This essay reviews the family of models that seek to provide aggregate risk based explanations for the empirically …

Bayesian hierarchical model, we examine how subjects make investment decisions as a function of their previous experience and …

receives from gains and losses in wealth depends on his prior investment outcomes; prior gains cushion subsequent losses -- the …, and predictability of stock returns. The key to our results is that the agent's risk-aversion changes over time as a … function of his investment performance. This makes prices much more volatile than underlying dividends and together with the …

We use a repeated survey of an Italian bank's clients to test whether investors' risk aversion increases following the … 2008 financial crisis. We find that both a qualitative and a quantitative measure of risk aversion increases substantially … response (fear) triggered by a scary experience. To show the plausibility of this conjecture, we conduct a lab experiment. We …

We present a new model of asset prices in which investors evaluate risk according to prospect theory and examine its …