Measuring The Myopic Loss Aversion Premium: An Experimental Approach

ABSTRACT

This paper proposes new methods to assess the myopic loss aversion premium (the expected return-differential) based on an experimental design by eliciting both willingness-to-pay and allocation percentage figures and also by inferring and comparing absolute risk aversion coefficients. Our results indicate a high level of loss aversion and support the existence of the myopic loss aversion bias.

KEYWORDS:

• myopic loss aversion premium
• allocation decision
• willingness-to-pay
• risk aversion
• utility score

JEL CLASSIFICATION:

• C91
• G11

Disclosure statement

No potential conflict of interest was reported by the author(s).

Additional information

Funding

This work was supported by a grant of the Romanian Ministry of Education and Research, CNCS - UEFISCDI, project number PN-III-P1-1.1-TE-2019-1702, within PNCDI III”