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A Model of Investor Sentiment
Recent empirical research in finance has uncovered two families of pervasive regularities: underreaction of stock prices to news such as earnings announcements; and overreaction of stock prices to aExpand
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Investing for the Long Run When Returns are Predictable
We examine how the evidence of predictability in asset returns affects optimal portfolio choice for investors with long horizons. Particular attention is paid to estimation risk, or uncertainty aboutExpand
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A Survey of Behavioral Finance
Behavioral finance argues that some financial phenomena can plausibly be understood using models in which some agents are not fully rational. The field has two building blocks: limits to arbitrage,Expand
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Prospect Theory and Asset Prices
We study asset prices in an economy where investors derive direct utility not only from consumption but also from fluctuations in the value of their financial wealth. They are loss averse over theseExpand
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Style Investing
We study asset prices in an economy where some investors classify risky assets into different styles and move funds back and forth between these styles depending on their relative performance. OurExpand
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Thirty Years of Prospect Theory in Economics: A Review and Assessment
Prospect theory, first described in a 1979 paper by Daniel Kahneman and Amos Tversky, is widely viewed as the best available description of how people evaluate risk in experimental settings. WhileExpand
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Mental Accounting, Loss Aversion, and Individual Stock Returns
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 overExpand
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Stocks as Lotteries: The Implications of Probability Weighting for Security Prices
TLDR
We study the asset pricing implications of Tversky and Kahneman's (1992) cumulative prospect theory, with particular focus on its probability weighting component. Expand
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What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation
One of the most striking portfolio puzzles is the %u201Cdisposition effect%u201D: the tendency of individuals to sell stocks in their portfolios that have risen in value since purchase, rather thanExpand
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Behavioral Finance
When citing this paper, please use the following: Hirshleifer D, 2014. Title. Annu. Rev. Econ. 7,: Submitted. Doi: 10.1146/annurev-financial-092214-043752
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