Table IX. Open in new tab Loss aversion...

	Subjective rating of expected return	Subjective rating of past return
Expected portfolio return	5.694	7.905	4.129	9.728
(if < 0)	(3.72)***	(3.22)***	(3.66)***	(4.20)***
Expected portfolio return	3.547	2.118	2.758	2.324
(if > 0)	(3.43)***	(3.48)***	(3.78)***	(4.87)***
Past portfolio return (perc.)					4.377	6.571	5.848	5.979
(if < 0)					(8.49)***	(5.73)***	(13.62)***	(4.10)***
Past portfolio return (perc.)					5.522	5.214	3.438	5.355
(if > 0)					(5.10)***	(7.16)***	(1.63)	(8.20)***
R²	0.201	0.180	0.174	0.246	0.500	0.485	0.320	0.321
Observations	992	1115	1207	900	1178	870	1211	904
Time-fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Individual-fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes

Loss aversion coefficient λ	1.61	3.73	1.50	4.19	0.79	1.26	1.70	1.12
	(0.68)	(1.50)	(0.60)	(1.12)	(0.20)	(0.29)	(1.09)	(0.35)
p-value Wald test (λ = 1)	0.215	0.020	0.333	0.001	0.387	0.365	0.491	0.540
p-value (⁠ $λ_{loss} {=λ}_{gain})$	0.107	0.025	0.192	0.652

Subjective rating of expected return

Subjective rating of past return

Past pf. return

Cumulative pf. return

Lagged past pf. return

Cumulative pf. return

<0 (1)

\geq

0 (2)

<0 (3)

\geq

0 (4)

<0 (5)

\geq

0 (6)

<0 (7)

\geq

0 (8)

Expected portfolio return

5.694

7.905

4.129

9.728

(if < 0)

(3.72)***

(3.22)***

(3.66)***

(4.20)***

Expected portfolio return

3.547

2.118

2.758

2.324

(if > 0)

(3.43)***

(3.48)***

(3.78)***

(4.87)***

Past portfolio return (perc.)

4.377

6.571

5.848

5.979

(if < 0)

(8.49)***

(5.73)***

(13.62)***

(4.10)***

Past portfolio return (perc.)

5.522

5.214

3.438

5.355

(if > 0)

(5.10)***

(7.16)***

(1.63)

(8.20)***

R²

0.201

0.180

0.174

0.246

0.500

0.485

0.320

0.321

Observations

992

1115

1207

900

1178

870

1211

904

Time-fixed effects

Yes

Individual-fixed effects

Yes

Loss aversion coefficient λ

1.61

3.73

1.50

4.19

0.79

1.26

1.70

1.12

(0.68)

(1.50)

(0.60)

(1.12)

(0.20)

(0.29)

(1.09)

(0.35)

p-value Wald test (λ = 1)

0.215

0.020

0.333

0.001

0.387

0.365

0.491

0.540

p-value (⁠

λ_{loss} {=λ}_{gain})

0.107

0.025

0.192

0.652

	Subjective rating of expected return	Subjective rating of past return
Expected portfolio return	5.694	7.905	4.129	9.728
(if < 0)	(3.72)***	(3.22)***	(3.66)***	(4.20)***
Expected portfolio return	3.547	2.118	2.758	2.324
(if > 0)	(3.43)***	(3.48)***	(3.78)***	(4.87)***
Past portfolio return (perc.)					4.377	6.571	5.848	5.979
(if < 0)					(8.49)***	(5.73)***	(13.62)***	(4.10)***
Past portfolio return (perc.)					5.522	5.214	3.438	5.355
(if > 0)					(5.10)***	(7.16)***	(1.63)	(8.20)***
R²	0.201	0.180	0.174	0.246	0.500	0.485	0.320	0.321
Observations	992	1115	1207	900	1178	870	1211	904
Time-fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Individual-fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes

Loss aversion coefficient λ	1.61	3.73	1.50	4.19	0.79	1.26	1.70	1.12
	(0.68)	(1.50)	(0.60)	(1.12)	(0.20)	(0.29)	(1.09)	(0.35)
p-value Wald test (λ = 1)	0.215	0.020	0.333	0.001	0.387	0.365	0.491	0.540
p-value (⁠ $λ_{loss} {=λ}_{gain})$	0.107	0.025	0.192	0.652

Table IX.

Open in new tab

Loss aversion and previous outcomes

The table shows results of panel fixed-effects regressions with subjective ratings of expected and past portfolio return as the dependent variable. The sample is split by negative or positive previous outcomes: past perceived portfolio return (Columns (1) and (2)), lagged past actual return (Columns (5) and (6)), or cumulative actual return over the last two survey periods (Columns (3) and (4), and (7) and (8)). 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) and in addition whether the loss aversion coefficient after previous losses is equal to the coefficient after previous gains.

	Subjective rating of expected return				Subjective rating of past return
	Past pf. return		Cumulative pf. return		Lagged past pf. return		Cumulative pf. return
	<0 (1)	$\geq$ 0 (2)	<0 (3)	$\geq$ 0 (4)	<0 (5)	$\geq$ 0 (6)	<0 (7)	$\geq$ 0 (8)
Expected portfolio return	5.694	7.905	4.129	9.728
(if < 0)	(3.72)***	(3.22)***	(3.66)***	(4.20)***
Expected portfolio return	3.547	2.118	2.758	2.324
(if > 0)	(3.43)***	(3.48)***	(3.78)***	(4.87)***
Past portfolio return (perc.)					4.377	6.571	5.848	5.979
(if < 0)					(8.49)***	(5.73)***	(13.62)***	(4.10)***
Past portfolio return (perc.)					5.522	5.214	3.438	5.355
(if > 0)					(5.10)***	(7.16)***	(1.63)	(8.20)***
R²	0.201	0.180	0.174	0.246	0.500	0.485	0.320	0.321
Observations	992	1115	1207	900	1178	870	1211	904
Time-fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Individual-fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes

Loss aversion coefficient λ	1.61	3.73	1.50	4.19	0.79	1.26	1.70	1.12
	(0.68)	(1.50)	(0.60)	(1.12)	(0.20)	(0.29)	(1.09)	(0.35)
p-value Wald test (λ = 1)	0.215	0.020	0.333	0.001	0.387	0.365	0.491	0.540
p-value (⁠ $λ_{loss} {=λ}_{gain})$	0.107		0.025		0.192		0.652

	Subjective rating of expected return				Subjective rating of past return
	Past pf. return		Cumulative pf. return		Lagged past pf. return		Cumulative pf. return
	<0 (1)	$\geq$ 0 (2)	<0 (3)	$\geq$ 0 (4)	<0 (5)	$\geq$ 0 (6)	<0 (7)	$\geq$ 0 (8)
Expected portfolio return	5.694	7.905	4.129	9.728
(if < 0)	(3.72)***	(3.22)***	(3.66)***	(4.20)***
Expected portfolio return	3.547	2.118	2.758	2.324
(if > 0)	(3.43)***	(3.48)***	(3.78)***	(4.87)***
Past portfolio return (perc.)					4.377	6.571	5.848	5.979
(if < 0)					(8.49)***	(5.73)***	(13.62)***	(4.10)***
Past portfolio return (perc.)					5.522	5.214	3.438	5.355
(if > 0)					(5.10)***	(7.16)***	(1.63)	(8.20)***
R²	0.201	0.180	0.174	0.246	0.500	0.485	0.320	0.321
Observations	992	1115	1207	900	1178	870	1211	904
Time-fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Individual-fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes

Loss aversion coefficient λ	1.61	3.73	1.50	4.19	0.79	1.26	1.70	1.12
	(0.68)	(1.50)	(0.60)	(1.12)	(0.20)	(0.29)	(1.09)	(0.35)
p-value Wald test (λ = 1)	0.215	0.020	0.333	0.001	0.387	0.365	0.491	0.540
p-value (⁠ $λ_{loss} {=λ}_{gain})$	0.107		0.025		0.192		0.652

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