We introduce a measure of regret for stock market investors and investigate its cross-sectional asset pricing implications. We propose a theoretical framework in which investors experience regret due to not achieving the highest possible return in the same industry with their stock investment,...

This study investigates the existence of a cross-sectional relationship between several index characteristics and future returns on country-industry indexes in six regions. The results from portfolio sorts and index-level cross-sectional regressions across regions collectively show that the...