00Thaler_FM i-xxvi.qxd

data (6.5 percent per year) is consistent with an evaluation period of one year. If the evaluation period were two years, the eq ...

Although asset allocations vary across firms, a common allocation is about 60 percent stocks and 40 percent bonds and treasury b ...

have little significance” (p. 15, emphasis added). In other words, agency costs produce myopic loss aversion.^16 B. Foundation a ...

tence of economic factors contributing to loss aversion. Nevertheless, insti- tutions could probably do better at structuring th ...

Appendix: Experimental Tests In our paper on myopic loss aversion reproduced here, we used the concept to try to “explain” the e ...

one-third to win two and half times the amount invested. The subjects were provided an endowment, and they had to decide how muc ...

by itself cannot explain the results, since the distribution of final payoffs is virtually the same for the three gambles. It is ...

annual returns on stocks and bonds or simulated thirty-year returns on the same asset classes. The two investment choices, stock ...

References Benartzi, Shlomo, and Richard H. Thaler, 1995, Myopic Loss Aversion and the Eq- uity Premium Puzzle, Quarterly Journa ...

———, 1988, The Equity Premium Puzzle: A Solution? Journal of Monetary Eco- nomics21, 133–36. Merton, Robert, 1969, Lifetime Port ...

PART II Stock Returns and the Equity Premium ...

...

Chapter 5 VALUATION RATIOS AND THE LONG-RUN STOCK MARKET OUTLOOK: AN UPDATE John Y. Campbell and Robert J. Shiller When stock ma ...

(inflation-corrected) S&P Composite Index, has increased by 80 percent above its value when we testified, and 30 percent abo ...

Does the dividend/price ratio forecast future dividend movements as re- quired by the random-walk theory, or does it instead for ...

It is obvious from the top part of figure 5.1 that the dividend/price ratio has done a poor job as a forecaster of future divide ...

It must follow, therefore, that the dividend/price ratio forecasts movements in its denominator, the stock price, and that it is ...

Such short-horizon forecasting power should not be surprising; dividends are fairly predictable over a few quarters, and the Jan ...

a very slight tendency to fall in years when they are initially high relative to dividends, but this relationship explains less ...

calculated using the January stock price in each year divided by the level of earnings from the previous year. The bottom left p ...