Loss aversion with a state-dependent reference point / Enrico G. De Giorgi in Management science, Vol. 57 N° 6 (Juin 2011)  

Public ISBD [article]  inManagement science > Vol. 57 N° 6 (Juin 2011) . - pp. 1094-1110 Titre : Loss aversion with a state-dependent reference point Type de document : texte imprimé Auteurs : Enrico G. De Giorgi, Auteur ; Thierry Post, Auteur Année de publication : 2011 Article en page(s) : pp. 1094-1110 Note générale : Management Langues : Anglais (eng) Mots-clés : Behavioral finance Asset pricing Equity premium puzzle Reference-dependent preferences Loss aversion Stochastic reference point Index. décimale : 658 Organisation des entreprises. Techniques du commerce 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 [article] Loss aversion with a state-dependent reference point [texte imprimé] / Enrico G. De Giorgi, Auteur ; Thierry Post, Auteur . - 2011 . - pp. 1094-1110. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 6 (Juin 2011) . - pp. 1094-1110 Mots-clés : Behavioral finance Asset pricing Equity premium puzzle Reference-dependent preferences Loss aversion Stochastic reference point Index. décimale : 658 Organisation des entreprises. Techniques du commerce 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

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