Mental Accounting, Loss Aversion, and Individual Stock Returns

By Nicholas Barberis, Ming Huang. 2001

1,018 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/caded142b9baa4a9502e8ac5b31fdfee4e3f7531

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Citations in the corpus

Do investors exhibit behavioral biases in investment decision making? A systematic review (2018, methodology): “Standard deviation is used by Barberis and Huang (2001), Vissing-Jorgensen (2003), Demirer and Kutan (2006), Glaser and Weber (2007) and Cronqvist and Siegel (2014) to measure the variability of scores within a set of factors to be studied.”
When Does Idiosyncratic Risk Really Matter (2009, positive): “With Equation (1) and (2), it is clear that the presence of idiosyncratic risk increases the expected return as long as qk is less than unity.”
Stochastic behavioral asset pricing models and the stylized facts (2008, background): “If stability condition (14) is satis ed and the eigenvalues of the dynamic system are complex conjugate numbers (which happens in an open set of parameter values), the model exhibits overshooting and subsequent mean reversal in the presence of new information.”
Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research (2010, neutral): “These models incorporate such behavioral constructs as prospect-theory behavior (Barberis and Huang 2001), biased beliefs (Barberis, Shleifer, and Vishny 1998; Daniel, Hirshleifer, and Subrahmanyam 1998), limited attention (Hirschleifer and Teoh 2003; Peng and Xiong 2006), myopic dismissal of other…”
Cross-Section of Option Returns and Volatility (2009, background): “The conjecture that overreaction to current stock returns leads to misestimation of future volatility is consistent with the behavioral model of Barberis and Huang (2001) (henceforth BH).”
Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk (2005, background): “Baker and Wurgler (2005) find that conditional on investor sentiment idiosyncratic risk can be positively or negatively correlated with the expected return.”
Loss-Aversion and Household Portfolio Choice (2010, positive): “Barberis and Huang (2001) derive a model in which investors are lossaverse and frame narrowly, deriving utility directly from the gains and losses of individual equity securities.”
An experimental examination of the house money effect in a multi-period setting (2006, neutral): “2 Examples include Barberis and Huang (2001, 2001, 2002, 1997), and Benartzi and Thaler (1995). 3 Vernon Smith (1994) argues that significant observation generally precedes well-formulated scientific theory. 4 Thaler and Johnson (1990) find that in some cases, people are risk-seeking after a prior l”
Lessons from Behavioral Finance for Retirement Plan Design (2003, background): “In one experiment, participants were asked to select an investment mix for their retirement plans given two fund offerings (Benartzi and Thaler, 2001).”
Preferred Risk Habitat of Individual Investors (2010, neutral): “Read et al. (1999) review experiments demonstrating the propensity for narrow framing; Barberis et al. (2001) and Barberis and Huang (2001) explore theoretical asset pricing models based on narrow framing.”
Overvalued Equity and Financing Decisions (2012, neutral): “, Barberis and Huang (2001) and Daniel, Hirshleifer, and Subrahmanyam (2001)).”
Idiosyncratic Risk and the Cross-Section of Stock Returns: Merton (1987) Meets Miller (1977) (2009, neutral): “Barberis and Huang (2001) produce a prospect-theory model where idiosyncratic risk produces positive expected returns.”