Heterogeneity of Investors and Asset Pricing in a Risk-Value World

[42] Shefrin, H.M. and Sfafman, M. (1985), The Disposition to Sell Winners
Too Early and Ride Losers Too Long, Journal of Finance, 40, 777-790.

[43] Shiller, R. J. (1989), Market Volatility, MIT Press: Cambridge, MA.

[44] Shiller, R. J. (1981), Do Stock Prices Move Too Much to Be Justified
by Subsequent Dividend Changes, American Economic Review, 71, 421-
498.

[45] Shumway, T. (1997), Explaining Returns with Loss Aversion, Working
Paper, University of Michigan.

[46] Slovic, P. (1987), PerceptionofRisk, Science, 236, 280-285.

[47] Thaler, R. H., Tversky, A., Kahneman, D. and Schwartz, A. (1997), The
Effect of Myopia and Loss Aversion on Risk Taking: An Experimental
Test, Quarterly Journal of Economics, 112, 647-661.

[48] Vuolteenaho, T. (2000), What Drives Firm-Level Stock Returns, Work-
ing Paper.

[49] Weber, E.U. (1997), The utility of measuring and modeling perceived
risk, in A.A.J. Marley (ed.), Choice, Decision, and Measurement: Essays
in Honor of R. Duncan Luce, Mahwah, N.J.: Erlbaum Associates 45-57.

[50] Weber, E.U. and Bottom, W.P. (1990), An empirical evaluation of the
transivity, monotonicity, accounting and conjoint axioms of perceived
risk, Organizational Behavior and Human Decision Processes, 45, 253-
275.

[51] Weber, M. and Camerer, C. (1998), The Disposition Effect in Securities
Trading: An Experimental Analysis, Journal of Economic Behavior &
Organization, 33, 167-184.

50

<<   47   48   49   50  

More intriguing information