Does Anticipated Regret Affect the Predictability of Stock Returns?
本文构建理论模型，分析市场中存在后悔厌恶投资者时股票收益如何变化，发现预期后悔导致短期正相关和长期负相关，并预测未来交易量与已实现收益离散度正相关。
ABSTRACT This paper presents a theoretical model that analyses how stock returns are affected by the presence of regret‐averse investors in the market. The model demonstrates how anticipation of regret leads to positive short‐run and negative long‐run correlations of stock returns. In addition, the model predicts a positive correlation between future trading volume and the dispersion of the realized stock returns.