In this article, a simple paper-and-pencil experiment, based on lottery bonds, shows that financial decisions taken by participants are inconsistent with the traditional view of economic agents as risk averse expected utility maximizers. First, our results cast doubt on the relevance of variance...

Dans cet article, nous proposons un indice d'effcience relative des porte- feuilles de titres permettant le classement d'un ensemble de portefeuilles en considérant que l'univers d'investissement est réduit à l'ensemble des titres à classer. Cet indice est basé sur l'équation de la...

Capital protected notes are very popular structured products since the internet bubble burst in 2000. Investors are protected against large losses they could suffer if they were investing directly in the underlying index or portfolio of stocks. It then seems intuitive that such products are...

Le succès ou l’échec d’un produit de loterie est essentiellement lié au design qu’il propose, résumé dans la structure des prix attribués aux gagnants, et à l’univers concurrentiel dans lequel il s’insère, à savoir l’univers des jeux de hasard. Dans cet article, nous...

Many financial puzzles have been solved, at least partially, by the introduction of alternative assumptions on the behaviour of investors. Cumulative prospect theory and mental accounting are two such approaches which are used in this paper to analyze some of the most important financial...

In a recent paper entitled “Putting Risk in its Proper Place”, Eeckhoudt and Schlesinger (2006) established a theorem linking the sign of the n-th derivative of an agent’s utility function to her preferences among pairs of simple lotteries. We characterize these lotteries and show that, in...

We analyze the demand of the Euromillions lottery tickets, a European lotto-like game launched in 2004 and played simultaneously in nine countries with the same rules and the same draws. Using the effective price methodology, we show that price elasticities are very different across countries....

The disposition effect is a well established phenomenon in the empirical and experimental financial literature. It leads to sell winners too early and to hold losers too long. In this paper, we show that the consciousness of the disposition effect by investors lead them to require a greater risk...

In this paper, we first prove analytically that the skewness of returns of portfolios built with Arrow-Debreu securities decreases with diversification. Through simulations, we also show that this result remains true in a financial market with a finite number of states of nature. We then analyze...

We build a new measure of investor sentiment only based on changes in diversi?cation levels of individual investors? portfolios. The dynamics of the number of different stocks in portfolios is modelized as a Markov chain. We measure investor sentiment as the area above the cumulative...