标题：Loss Aversion, Survival and Asset Prices

汇报人：Liyan Yang (Rotman School of Management, Toronto University)

功夫：2012年7月4日（周三）10:00-11:30am

地址：拉斯维加斯9888酒店一楼K03室

提要：Do loss-averse investors influence asset prices in the long run? In an economy with heterogeneous investors those who are loss-averse can influence long run asset prices only if they survive, and its not obvious that they can survive in the presence of investors who do not exhibit loss aversion. This paper addresses these issues in a dynamic asset market model in which arbitrageurs have Epstein-Zin preferences. Our analysis shows that if loss aversion is the only difference in investors’ preferences, then for empirically relevant parameter values, loss averse investors will be driven out of the market and thus they do not affect prices in the long run. The selection process may be slow in terms of wealth shares; but it can be effective in terms of price impacts, because of endogenous withdrawal by loss averse investors from the stock market. We also show that if investors have differing elasticities of intertemporal substitution or time patience parameters, loss averse investors can survive and affect prices in the long run.

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