메뉴 건너뛰기




Volumn 110, Issue 1, 1995, Pages 73-92

Myopic loss aversion and the equity premium puzzle

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84906006114     PISSN: 00335533     EISSN: 15314650     Source Type: Journal    
DOI: 10.2307/2118511     Document Type: Article
Times cited : (1632)

References (34)
  • 1
    • 0003102474 scopus 로고
    • The Tax Consequences of Long-Run Pension Policy
    • Black, Fischer, “The Tax Consequences of Long-Run Pension Policy,” Financial Analysts Journal, 36 (1980), 21-28.
    • (1980) Financial Analysts Journal , vol.36 , pp. 21-28
    • Black, F.1
  • 3
    • 84935322716 scopus 로고
    • Habit Formation: A Resolution of the Equity Premium Puzzle
    • Constantinides, George M., “Habit Formation: A Resolution of the Equity Premium Puzzle,” Journal of Political Economy, 118 (1990), 519-43.
    • (1990) Journal of Political Economy , vol.118 , pp. 519-543
    • Constantinides, G.M.1
  • 4
    • 38249016161 scopus 로고
    • First Order Risk Aversion and the Equity Premium Puzzle
    • Epstein, L. G., and S. E. Zin, “‘First Order’ Risk Aversion and the Equity Premium Puzzle,” Journal of Monetary Economics, 26 (1990), 387-407.
    • (1990) Journal of Monetary Economics , vol.26 , pp. 387-407
    • Epstein, L.G.1    Zin, S.E.2
  • 5
    • 0000853427 scopus 로고
    • Habit Persistence and Durability in Aggregate Consumption: Empirical Tests
    • Ferson, Wayne, and George M. Constantinides, “Habit Persistence and Durability in Aggregate Consumption: Empirical Tests,” Journal of Financial Economics, 41 (1991), 199-240.
    • (1991) Journal of Financial Economics , vol.41 , pp. 199-240
    • Ferson, W.1    Constantinides, G.M.2
  • 6
    • 0001114770 scopus 로고
    • Legal Policy and the Endowment Effect
    • Hovencamp, H., “Legal Policy and the Endowment Effect,” Journal of Legal Studies, 20 (1991), 225-47.
    • (1991) Journal of Legal Studies , vol.20 , pp. 225-247
    • Hovencamp, H.1
  • 7
    • 0000744908 scopus 로고
    • “Fairness as a Constraint on Profit Seeking: Entitlements in the Market
    • Kahneman, Daniel, Jack Knetsch, and Richard H. Thaler, “Fairness as a Constraint on Profit Seeking: Entitlements in the Market,” American Economic Review, 76 (1986), 728-41.
    • (1986) American Economic Review , vol.76 , pp. 728-741
    • Kahneman, D.1    Knetsch, J.2    Thaler, R.H.3
  • 8
    • 84936526580 scopus 로고
    • Experimental Tests of the Endowment Effect and the Coase Theorem
    • Kahneman, Daniel, Jack Knetsch, and Richard H. Thaler, “Experimental Tests of the Endowment Effect and the Coase Theorem,” Journal of Political Economy, 118 (1990), 1325-48.
    • (1990) Journal of Political Economy , vol.118 , pp. 1325-1348
    • Kahneman, D.1    Knetsch, J.2    Thaler, R.H.3
  • 9
    • 0000125532 scopus 로고
    • Prospect Theory: An Analysis of Decision Under Risk
    • Kahneman, Daniel, and Amos Tversky, “Prospect Theory: An Analysis of Decision Under Risk,” Econometrica, 47 (1979), 263-91.
    • (1979) Econometrica , vol.47 , pp. 263-291
    • Kahneman, D.1    Tversky, A.2
  • 10
  • 12
    • 84890726499 scopus 로고
    • Shortfall Risks and the Asset Allocation Decision: A Simulation Analysis of Stock and Bond Risk Profiles
    • Leibowitz, M. L., and T. C. Langetieg, “Shortfall Risks and the Asset Allocation Decision: A Simulation Analysis of Stock and Bond Risk Profiles,” Salomon Brothers Research Department, January 1989.
    • (1989) Salomon Brothers Research Department
    • Leibowitz, M.L.1    Langetieg, T.C.2
  • 13
    • 0000567138 scopus 로고
    • Behavioral Models of Risk Taking in Business
    • Libby, Robert, and Peter C. Fishburn, “Behavioral Models of Risk Taking in Business,” Journal of Accounting Research, 15 (1977), 272-92.
    • (1977) Journal of Accounting Research , vol.15 , pp. 272-292
    • Libby, R.1    Fishburn, P.C.2
  • 15
    • 0002874783 scopus 로고
    • The Consumption of Stockholders and Nonstockholders
    • Mankiw, N. Gregory, and S. P. Zeldes, “The Consumption of Stockholders and Nonstockholders,” Journal of Financial Economics, 31 (1991), 97-112.
    • (1991) Journal of Financial Economics , vol.31 , pp. 97-112
    • Mankiw, N.G.1    Zeldes, S.P.2
  • 16
    • 46549099071 scopus 로고
    • Prescott, “The Equity Premium Puzzle
    • Mehra, R., and Edward C. Prescott, “The Equity Premium Puzzle,” Journal of Monetary Economics, 15 (1985), 145-61.
    • (1985) Journal of Monetary Economics , vol.15 , pp. 145-161
    • Mehra, R.1    Edward, C.2
  • 17
    • 45549119892 scopus 로고
    • Prescott, “The Equity Premium Puzzle: A Solution?
    • Mehra, R., and Edward C. Prescott, “The Equity Premium Puzzle: A Solution?” Journal of Monetary Economics, 21 (1988), 133-36.
    • (1988) Journal of Monetary Economics , vol.21 , pp. 133-136
    • Mehra, R.1    Edward, C.2
  • 18
    • 0000314740 scopus 로고
    • Lifetime Portfolio Selection Under Uncertainty: The Continuous Time Case
    • Merton, Robert, “Lifetime Portfolio Selection Under Uncertainty: The Continuous Time Case,” Review of Economics and Statistics, 51 (1969), 247-57.
    • (1969) Review of Economics and Statistics , vol.51 , pp. 247-257
    • Merton, R.1
  • 19
    • 0000167443 scopus 로고
    • Proper Risk Aversion
    • Pratt, John W., and Richard J. Zeckhauser, “Proper Risk Aversion,” Econometrica, 55 (1987), 143-54.
    • (1987) Econometrica , vol.55 , pp. 143-154
    • Pratt, J.W.1    Zeckhauser, R.J.2
  • 20
    • 45549121696 scopus 로고
    • The Equity Risk Premium: A Solution?
    • Reitz, Thomas, “The Equity Risk Premium: A Solution?” Journal of Monetary Economics, 21 (1988), 117-32.
    • (1988) Journal of Monetary Economics , vol.21 , pp. 117-132
    • Reitz, T.1
  • 21
    • 0001786618 scopus 로고
    • “Risk and Uncertainty: A Fallacy of Large Numbers
    • Samuelson, Paul A., “Risk and Uncertainty: A Fallacy of Large Numbers,” Scientia, 118 (1963), 108-13.
    • (1963) Scientia , vol.118 , pp. 108-113
    • Samuelson, P.A.1
  • 22
    • 0000314743 scopus 로고
    • Lifetime Portfolio Selection by Dynamic Stochastic Programming
    • Samuelson, Paul A, “Lifetime Portfolio Selection by Dynamic Stochastic Programming,” Review of Economics and Statistics, 51 (1969), 238-46.
    • (1969) Review , vol.51 , pp. 238-246
    • Samuelson, P.A.1
  • 24
    • 0000515067 scopus 로고
    • Equilibrium Short Horizons of Investors and Firms
    • Shleifer, Andrei, and Robert Vishny, “Equilibrium Short Horizons of Investors and Firms,” American Economic Review, 80 (1990), 148-53.
    • (1990) American Economic Review , vol.80 , pp. 148-153
    • Shleifer, A.1    Vishny, R.2
  • 26
    • 0002388457 scopus 로고
    • The Equity Premium: Stock and Bond Returns Since 1802
    • Siegel, Jeremy J., “The Equity Premium: Stock and Bond Returns Since 1802,” Financial Analysts Journal, 48 (1992), 28-38.
    • (1992) Financial Analysts Journal , vol.48 , pp. 28-38
    • Siegel, J.J.1
  • 27
    • 0000913616 scopus 로고
    • Utility Theory-Insights into Risk Taking
    • Swalm, R. O., “Utility Theory-Insights into Risk Taking,” Harvard Business Review, 44 (1966), 123-36.
    • (1966) Harvard Business Review , vol.44 , pp. 123-136
    • Swalm, R.O.1
  • 28
    • 0000538440 scopus 로고
    • Mental Accounting and Consumer Choice
    • Thaler, Richard H., “Mental Accounting and Consumer Choice,” Marketing Science, TV (1985), 199-214.
    • (1985) Marketing Science, TV , pp. 199-214
    • Thaler, R.H.1
  • 29
    • 0000630111 scopus 로고
    • Johnson, “Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice
    • Thaler, Richard H., and Eric J. Johnson, “Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice,” Management Science, 36 (1990), 643-60.
    • (1990) Management Science , vol.36 , pp. 643-660
    • Thaler, R.H.1    Eric, J.2
  • 31
    • 0001076162 scopus 로고
    • Loss Aversion and Riskless Choice: A Reference Dependent Model
    • Tversky, Amos, and Daniel Kahneman, “Loss Aversion and Riskless Choice: A Reference Dependent Model,” Quarterly Journal of Economics, 107 (1991), 1039-61.
    • (1991) Quarterly Journal of Economics , vol.107 , pp. 1039-1061
    • Tversky, A.1    Kahneman, D.2
  • 32
    • 31744450082 scopus 로고
    • Advances in Prospect Theory: Cumulative Representation of Uncertainty
    • Tversky, Amos, and Daniel Kahneman, “Advances in Prospect Theory: Cumulative Representation of Uncertainty,” Journal of Risk and Uncertainty, 5 (1992), 297-323.
    • (1992) Journal of Risk and Uncertainty , vol.5 , pp. 297-323
    • Tversky, A.1    Kahneman, D.2
  • 33
    • 38249004563 scopus 로고
    • The Equity Premium Puzzle and the Risk-free Rate Puzzle
    • Weil, Philippe, “The Equity Premium Puzzle and the Risk-free Rate Puzzle,” Journal of Monetary Economics, 24 (1989), 401-21.
    • (1989) Journal of Monetary Economics , vol.24 , pp. 401-421
    • Weil, P.1
  • 34
    • 0002569928 scopus 로고
    • The Dual Theory of Choice Under Risk
    • Yaari, M. E., “The Dual Theory of Choice Under Risk,” Econometrica, 55 (1987), 95-115.
    • (1987) Econometrica , vol.55 , pp. 95-115
    • Yaari, M.E.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.