Anticipated loss aversion

The table shows results for regressions of subjective ratings of expected portfolio returns on numerical expected portfolio return and controls. The results in Columns (1) and (2) are estimated by pooled OLS, the remaining columns contain results of panel regressions with random effects [Columns (3) and (4)] or fixed effects [Columns (5)–(7)]. Expected portfolio return is split for gains and losses with 0 as a reference point. Risk tolerance and subjective portfolio risk are self-reported, survey-based measures as defined in the Appendix A. Portfolio volatility is the 1-year historical volatility of investors’ portfolios at the time of each survey round. Log portfolio value is the natural logarithm of the value of the investors’ portfolios at the bank in pounds. Log turnover is the natural logarithm of trading volume divided by the sum of portfolio value at the beginning and end of a survey round. Time-fixed effects are included in form of round dummies for each round of the survey. Standard errors are robust and for panel models clustered by participant. Coefficients are significant at *p ˂ 0.10, **p ˂ 0.05, ***p ˂ 0.01; t-values are shown in parentheses. The loss aversion coefficient is the ratio between the coefficients for expected portfolio losses and gains (standard errors in parentheses). The Wald test tests for equality of these coefficients (λ = 1). Confidence interval is the 95% confidence interval for the ratio of coefficients (λ).