" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …

in describing their investment strategy as relating to a theory about fundamental value rather than about the kind of …

interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model …

explanation for this puzzle is based on prospect theory. Despite its prominence, this explanation has received little formal … scrutiny. We take up this task, and analyze the trading behavior of investors with prospect theory preferences. We find that …, at least for the simplest implementation of prospect theory, the link between these preferences and the disposition …

, volatility and stock returns. To do this, we use a large sample of individual accounts over a six-year period in the 1990's in …

, return volatility, and trading volume in the mortgage-backed security market. We find that increased disagreement is … associated with higher expected returns, higher return volatility, and larger trading volume. These results imply that there is a … positive risk premium for disagreement in asset prices. We also show that volatility in and of itself does not lead to higher …