TY  - JOUR
AU  - Barberis,Nicholas
AU  - Huang,Ming
TI  - Mental Accounting, Loss Aversion, and Individual Stock Returns
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8190
PY  - 2001
Y2  - March 2001
UR  - http://www.nber.org/papers/w8190
L1  - http://www.nber.org/papers/w8190.pdf
N1  - Author contact info:
Nicholas C. Barberis
Yale School of Management
135 Prospect Street
P O Box 208200
New Haven, CT 06520-8200
Tel: 203/436-0777
Fax: 203/432-6970
E-Mail: nick.barberis@yale.edu

Ming Huang
Johnson Graduate School of Management
319 Sage Hall
Cornell University
Ithaca, NY 14853
Tel: 607/255-9594
E-Mail: mh375@cornell.edu
AB  - 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 over the fluctuations of individual stocks that they own.  Both approaches can shed light on empirical phenomena, but we find the second approach to be more successful: in that economy, the typical individual stock return has a high mean and excess volatility, and there is a large value premium in the cross-section which can, to some extent, be captured by a commonly used multifactor model.
ER  -