| Titre : | Loss aversion with a state-dependent reference point (2011) |
| Auteurs : | Enrico G. De Giorgi, Auteur ; Thierry Post, Auteur |
| Type de document : | Article : texte imprimé |
| Dans : | Management science (Vol. 57 N° 6, Juin 2011) |
| Article en page(s) : | pp. 1094-1110 |
| Note générale : | Management |
| Langues : | Anglais |
| Index. décimale : | 658 (Organisation des entreprises. Techniques du commerce) |
| Tags : | Behavioral finance Asset pricing Equity premium puzzle Reference-dependent preferences Loss aversion Stochastic reference point |
| Résumé : | This study investigates reference-dependent choice with a stochastic, state-dependent reference point. The optimal reference-dependent solution equals the optimal consumption solution (no loss aversion) if the reference point is selected fully endogenously. Given that loss aversion is widespread, we conclude that the reference point generally includes an important exogenously fixed component. We develop a choice model in which adjustment costs can cause stickiness relative to an initial, exogenous reference point. Using historical U.S. investment benchmark data, we show that this model is consistent with diversification across bonds and stocks for a wide range of evaluation horizons, despite the historically high-risk premium of stocks compared to bonds. |
| DEWEY : | 658 |
| ISSN : | 0025-1909 |
| En ligne : | http://mansci.journal.informs.org/content/57/6.toc |
