Mental Accounting, Loss Aversion, and Individual Stock Returns
研究投资者对股票组合或个股波动产生损失厌恶时，均衡个股收益的特征，发现后者更能解释个股高均值、过度波动和价值溢价等实证现象。
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.