Original paper
Reference-dependent preferences and the risk–return trade-off
Abstract
This paper studies the cross-sectional risk–return trade-off in the stock market. A fundamental principle in finance is the positive relation between risk and expected return. However, recent empirical evidence suggests the opposite. Using several intuitive risk measures, we show that the negative risk–return relation is much more pronounced among firms in which investors face prior losses, but the risk–return relation is positive among firms in...
Paper Details
Title
Reference-dependent preferences and the risk–return trade-off
Published Date
Sep 30, 2016
Volume
123
Issue
2
Pages
395 - 414
TrendsPro
You’ll need to upgrade your plan to Pro
Looking to understand a paper’s academic impact over time?
- Scinapse’s Citation Trends graph enables the impact assessment of papers in adjacent fields.
- Assess paper quality within the same journal or volume, irrespective of the year or field, and track the changes in the attention a paper received over time.
Citation AnalysisPro
You’ll need to upgrade your plan to Pro
Looking to understand the true influence of a researcher’s work across journals & affiliations?
- Scinapse’s Top 10 Citation Journals & Affiliations graph reveals the quality and authenticity of citations received by a paper.
- Discover whether citations have been inflated due to self-citations, or if citations include institutional bias.