题目：Psychological Barrier and the Risk-return Trade-off
Traditional asset pricing theory posits a positive risk-return relation while empirical studies find a negative relation between risk and expected returns. In this paper, we find that the risk-return relation is negative among stocks with prices far from their 52-week high prices while positive among stocks with prices near their 52-week high prices. We argue that anchoring on the psychological barrier of 52-week extreme prices leads to such cross-sectional heterogeneity in the risk-return trade-off.We also consider several explanations but none of them are empirically supported. Overall, our results provide a new psychological perspective to understand the risk-return trade-off.
陈梓麟，西南财经大学大阳城集团娱乐网站app666副教授，主要研究领域为实证资产定价、行为金融和机器学习。论文发表或接收于《Journal of Financial Economics》，《Journal of Banking and Finance》，《Journal of Economic Dynamics and Control》等国际期刊。