257
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

Loss aversion and the term structure of interest rates

&
Pages 4623-4640 | Published online: 27 Jan 2011

References

  • Abel , AB . 1999 . Risk premia and term premia in general equilibrium . Journal of Monetary Economics , 43 : 3 – 33 .
  • Aiyagari , SR and Gertler , M . 1991 . Asset returns with transactions costs and uninsured individual risk . Journal of Monetary Economics , 27 : 311 – 31 .
  • Bekaert , G and Hodrick , RJ . 2001 . Expectations hypotheses tests . Journal of Finance , 56 : 1357 – 94 .
  • Benartzi , S and Thaler , RH . 1995 . Myopic loss aversion and the equity premium puzzle . Quarterly Journal of Economics , 110 : 73 – 92 .
  • Beyaert , A and Pérez-Castejón , JJ . 2009 . Markov-switching models, rational expectations and the term structure of interest rates . Applied Economics , 41 : 399 – 412 .
  • Brandt , MW and Wang , KQ . 2003 . Time-varying risk aversion and unexpected inflation . Journal of Monetary Economics , 50 : 1457 – 98 .
  • Cain , M , Law , D and Peel , DA . 2008 . Bounded cumulative prospect theory: some implications for gambling outcomes . Applied Economics , 40 : 5 – 15 .
  • Campbell , JY . 2000 . Asset pricing at the millennium . Journal of Finance , 55 : 1515 – 67 .
  • Campbell , JY and Cochrane , JH . 1999 . By force of habit: a consumption-based explanation of aggregate stock market behavior . Journal of Political Economy , 107 : 205 – 51 .
  • Campbell , JY and Shiller , RJ . 1991 . Yield spreads and interest rate movements: a bird's eye view . Review of Economic Studies , 58 : 495 – 514 .
  • Carriero , A , Favero , CA and Kaminska , I . 2006 . Financial factors, macroeconomic information and the expectations theory of the term structure of interest rates . Journal of Econometrics , 131 : 339 – 58 .
  • Constantinides , GM . 1990 . Habit formation: a resolution of the equity premium puzzle . Journal of Political Economy , 98 : 531 – 52 .
  • Constantinides , GM and Duffie , D . 1996 . Asset pricing with heterogeneous consumers . Journal of Political Economy , 104 : 219 – 40 .
  • Epstein , LG and Zin , SE . 1990 . First-order risk aversion and the equity premium puzzle . Journal of Monetary Economics , 26 : 387 – 407 .
  • Heaton , J and Lucas , DJ . 1996 . Evaluating the effects of incomplete markets on risk sharing and asset pricing . Journal of Political Economy , 104 : 443 – 87 .
  • Hung , MW . 1994 . The interaction between nonexpected utility and asymmetric market fundamentals . Journal of Finance , 49 : 325 – 43 .
  • Johnson , PA . 1997 . Estimation of the specification error in the expectations theory of the term structure . Applied Economics , 29 : 1239 – 47 .
  • Kahneman , D and Tversky , A . 1979 . Prospect theory: an analysis of decision under risk . Econometrica , 47 : 263 – 91 .
  • Kalev , PS and Inder , BA . 2006 . The information content of the term structure of interest rates . Applied Economics , 38 : 33 – 45 .
  • Law , D and Peel , DA . 2009 . Skewness as an explanation of gambling in cumulative prospect theory . Applied Economics , 41 : 685 – 9 .
  • Lien , D . 2001 . A note on loss aversion and futures hedging . Journal of Futures Markets , 21 : 681 – 92 .
  • Lucas , DJ . 1994 . Asset pricing with undiversifiable income risk and short sales constraints deepening the equity premium puzzle . Journal of Monetary Economics , 34 : 325 – 41 .
  • Mankiw , NG . 1986 . The equity premium and the concentration of aggregate shocks . Journal of Financial Economics , 17 : 211 – 19 .
  • Mankiw , NG and Zeldes , SP . 1991 . The consumption of stockholders and non-stockholders . Journal of Financial Economics , 29 : 97 – 112 .
  • McCulloch , JH . (2006) The US real term structure of interest rates with implicit inflation premium. Available at http://economics.sbs.ohio-state.edu/jhm/ts/ts.html (accessed 8 June 2010)
  • Mehra , R and Prescott , EC . 1985 . The equity premium: a puzzle . Journal of Monetary Economics , 15 : 145 – 61 .
  • Melino , A and Yang , AX . 2003 . State dependent preferences can explain the equity premium puzzle . Review of Economic Dynamic , 6 : 145 – 61 .
  • Piazzesi , M and Schneider , M . 2006 . Equilibrium Yield Curves NBER/Macroeconomics Annual, MIT Press, Cambridge, MA
  • Rietz , TA . 1988 . The equity premium puzzle: a solution . Journal of Monetary Economics , 22 : 117 – 31 .
  • Routledge , BR and Zin , SE . 2003 . Generalized disappointment aversion and asset prices Working Paper, Graduate School of Industrial Administration, Carnegie Mellon University
  • Schmidt , U . 2003 . Reference dependence in cumulative prospect theory . Journal of Mathematical Psychology , 47 : 122 – 31 .
  • Schmidt , U and Zank , H . 2008 . Risk aversion in cumulative prospect theory . Management Science , 54 : 208 – 16 .
  • Tversky , A and Kahneman , D . 1992 . Advances in prospect theory: cumulative representation of uncertainty . Journal of Risk and Uncertainty , 5 : 297 – 323 .
  • Wachter , JA . 2004 . A consumption-based model of the term structure of interest rates Working Paper, Department of Finance, University of Pennsylvania
  • Wachter , JA . 2006 . A consumption-based model of the term structure of interest rates . Journal of Financial Economics , 79 : 365 – 99 .
  • Weil , P . 1989 . The equity premium puzzle and the riskfree rate puzzle . Journal of Monetary Economics , 24 : 401 – 21 .
  • Weil , P . 1992 . Equilibrium asset prices with undiversifiable labor income risk . Journal of Economic Dynamics and Control , 16 : 769 – 90 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.