作者
Nicholas Barberis, Ming Huang
发表日期
2001/8
期刊
the Journal of Finance
卷号
56
期号
4
页码范围
1247-1292
出版商
Blackwell Publishers, Inc.
简介
We study equilibrium firm‐level stock returns in two economies: one in which investors are loss averse over the fluctuations of their stock portfolio, and another in which they are loss averse over the fluctuations of individual stocks that they own. Both approaches can shed light on empirical phenomena, but we find the second approach to be more successful: In that economy, the typical individual stock return has a high mean and excess volatility, and there is a large value premium in the cross section which can, to some extent, be captured by a commonly used multifactor model.
引用总数
学术搜索中的文章
N Barberis, M Huang - the Journal of Finance, 2001