Prospect Theory, Mental Accounting, and Momentum

By Mark Grinblatt, Bing Han. 2005

1,003 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/4d33b6710a4f9ec34cfe57e5f037ae7b558c3741

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Nicholas Barberis
2. Malcolm P. Baker
3. Jianfeng Yu
4. Lucio Sarno
5. Doron Avramov
6. Jeffrey Wurgler
7. Jinghua Yan
8. Huijun Wang

In Finance

1. Nicholas Barberis
2. Jianfeng Yu
3. Malcolm P. Baker
4. Avanidhar Subrahmanyam
5. Maik Schmeling
6. David A. Hirshleifer
7. Paul C. Tetlock
8. Jeffrey Wurgler

In Management Science and Operations Research

1. Nicholas Barberis
2. Tobias J. Moskowitz
3. Robert Novy-Marx
4. Ronen Israel
5. Eric K. Kelley
6. Malcolm P. Baker
7. Maik Schmeling
8. Baolian Wang

Citations in the corpus

• On the Predictability of Chinese Stock Returns (2010, positive): “Following Wang (2004) and Kang, et al. (2002), we use the monthly yield of the three-month household deposit interest rate in China as the risk-free rate.”
• The effect of reference point prices on mergers and acquisitions (2012, background): “This effect is in Odean (1998), Grinblatt and Keloharju (2001), Grinblatt and Han (2005), Ivkovich, Poterba, and Weisbenner (2005), and Birru (2009).5 Shefrin and Statman (1984) suggest a view of dividends based on loss aversion and framing effects.”
• Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model (2013, methodology): “Researches of Grinblatt and Han [17] and Frazzini [18] also showed that the momentum effect made it a positive correlation between the previous gains and losses of financial asset and the current ones, respectively.”
• Trading Performance, Disposition Effect, Overconfidence, Representativeness Bias, and Experience of Emerging Market Investors (2007, neutral): “Grinblatt and Han (2005) derive an equilibrium model that explains how prospect theory and mental accounting (i.”
• Is momentum really momentum (2012, background): “Disposition effects associated with unrealized gains and losses do not explain the performance of the 12–7 strategy and cannot, contrary to the results of Grinblatt and Han (2005), even explain the performance of the 12–2 strategy.”
• Investors’ Risk Preference Characteristics and Conditional Skewness (2014, background): “[20, 40], the coefficient of risk compensation was negatively correlated with the skewness, and β 3 should be under zero.”
• Realization Utility with Reference-Dependent Preferences (2013, neutral): “Similar arguments were made in Weber and Camerer (1998), Odean (1998), Grinblatt and Han (2005), and other theoretical and empirical papers.”