A number of researchers (Rubenstein, 2000; Thaler, 1981) have shown that investors have a preference for higher short-run returns, and a declining rate of time preference. Such preferences have been cited as evidence for both investor irrationality and short-comings of the discounted utility model...

DeBondt and Thahler (1995) point out that while von Neumann-Morgenstern (1947) utility functions, the axioms of cardinal utility (Copeland and Weston, 1992), risk aversion, rational expectations, etc., have formed the basis for theories of choice under uncertainty, research in behavioral...

The issue of time diversification has been controversial. While some findings support time diversification, others do not. For example, Hodges, Taylor and Yoder (1997) find bonds outperform stocks, but Mukherji (2002) finds stocks provide time diversification benefits. This paper investigates...

Using the Markov regime switching unit root testing procedure developed by Hall, Psaradakis, and Sola (1999), we test the presence of periodically collapsing bubbles as postulated by Minsky (1975), in the time series of industry indices. Results indicate that although the industry index series...