Advertisement

Perception-Based Decisions, Strategic Alliances and Optimal Financial Contracting: Auctions, Strategic Alliances and a Critique of Third-Generation Prospect Theory and Related Approaches

  • Michael I. C. Nwogugu
Chapter

Abstract

The dollar volume of outstanding instruments in the global Auction-Rate Securities (“ARS”) market exceeded US$20 Trillion (twenty trillion US dollars) in 2019.

References

  1. Abdellaoui, M., Bleichrodt, H., & Kammoun, H. (2011). Do Financial Professionals Behave According to Prospect Theory? An Experimental Study. Theory and Decision, 74, 411–429.CrossRefGoogle Scholar
  2. Acharya, V., & Johnson, T. (2007). Insider Trading in Credit Derivatives. Journal of Financial Economics, 84, 110–141.Google Scholar
  3. Alderson, M. J., & Fraser, D. (1993). Financial Innovations and Excesses Revisited: The Case of Auction Rate Preferred Stock. Financial Management, 22(2), 61–75.CrossRefGoogle Scholar
  4. Alexander, P., van Loggerenberg, J., Lotriet, H., & Phahlamohlaka, J. (2010). The Use of Repertory Grid for Collaboration and Reflection in a Research Context. Group Decision and Negotiation, 19, 479–504.CrossRefGoogle Scholar
  5. Ammann, M., Ising, A., & Kessler, S. (2012). Disposition Effect and Mutual Fund Performance. Applied Financial Economics, 22(1), 1–19.Google Scholar
  6. Anantharaman, D. (2014). Inside Debt and the Design of Corporate Debt Contracts. Management Science, 60(5), 1083–1350.CrossRefGoogle Scholar
  7. Austin, A. (July 2012). Auction-Rate Securities. US Congressional Research Service, Washington DC, USA. Available at https://www.fas.org/sgp/crs/misc/RL34672.pdf.
  8. Ausubel, L. (2002). Implications of Auction Theory for New Issues Markets. Brookings-Wharton Papers on Financial Services 2002.CrossRefGoogle Scholar
  9. Babaioff, M., Dobzinski, S., & Oren, S. (2018, June). Combinatorial Auctions with Endowment Effect. In EC 2018 Proceedings of the 2018 ACM Conference on Economics and Computation (pp. 73–90). ACM New York, NY. ISBN: 978-1-4503-5829-3. https://arxiv.org/abs/1805.10913.
  10. Baele, L., Driessen, J. et al. (2018). Cumulative Prospect Theory, Option Returns, and the Variance Premium. The Review of Financial Studies.Google Scholar
  11. Bai, J., Fleming, M., & Horan, C. (2013). The Microstructure of China’s Government Bond Market (Staff Report No. 622). US Federal Reserve Bank of New York. http://www.newyorkfed.org/research/staff_reports/sr622.pdf.
  12. Banerjee, S., Dai, L., & Shrestha, K. (2011). Cross-Country IPOs: What Explains Differences in Underpricing? Journal of Corporate Finance, 17, 1289–1305.Google Scholar
  13. Barber, B., Lee, Y., Liu, Y., & Odean, T. (2007). Is the Aggregate Investor Reluctant to Realise Losses? Evidence from Taiwan. European Financial Management, 13(3), 423–447.Google Scholar
  14. Barberis, N. (2013). Thirty Years of Prospect Theory in Economics: A Review and Assessment. The Journal of Economic Perspectives, 27(1), 173–195.Google Scholar
  15. Barberis, N., & Huang, M. (2008). Stocks as Lotteries: The Implications of Probability Weighting for Security Prices. American Economic Review, 98(5), 2066–2100.CrossRefGoogle Scholar
  16. Barberis, N., & Xiong, W. (2009). What Drives the Disposition Effect? An Analysis of a Longstanding Preference-Based Explanation. The Journal of Finance, 64(2), 751–784.Google Scholar
  17. Barberis, N., Huang, M., & Santos, T. (2001). Prospect Theory and Asset Prices. The Quarterly Journal of Economics, 116(1), 1–53.CrossRefGoogle Scholar
  18. Bargeron, L., Lehn, M., & Zutter, C. (2010). Sarbanes-Oxley and Corporate Risk Taking. Journal of Accounting and Economics, 49, 34–52.CrossRefGoogle Scholar
  19. Bartak, R. (2016). Artificial Intelligence-2. https://ktiml.mff.cuni.cz/~bartak/ui2/lectures/lecture05eng.pdf.
  20. Bartolini, L., Hilton, S., Sundaresan, S., & Tonetti, C. (2011). Collateral Values by Asset Class: Evidence from Primary Securities Dealers. Review of Financial Studies, 24(1), 248–278.CrossRefGoogle Scholar
  21. Baucells, M., & Heukamp, F. (2006). Stochastic Dominance and Cumulative Prospect Theory. Management Science, 52(9), 1409–1423.CrossRefGoogle Scholar
  22. Beasley, M. S., Branson, B., & Hancock, B. (2010, February). Report on the Current State of Enterprise Risk Oversight (2nd Ed.).Google Scholar
  23. Beetsma, R., Giuliodori, M., de Jong, F., & Widijanto, D. (2013). Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis (Working Paper Series No. 1595). https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1595.pdf?ad45749173402cf1bc0b34f523be4f3f.
  24. Berger-Soucy, L., Garriott, C., & Usche, A. (Bank of Canada). (2018). Government of Canada Fixed-Income Market Ecology (Bank of Canada Staff Discussion Paper 2018–10).Google Scholar
  25. Bergstresser, D., & Luby, M. (2018, July). The Evolving Municipal Advisor Market in the Post Dodd-Frank Era (Working Paper).Google Scholar
  26. Bernard, C., & Ghossoub, M. (2010). Static Portfolio Choice Under Cumulative Prospect Theory. Mathematics and Financial Economics, 2, 77–306.CrossRefGoogle Scholar
  27. Bhargave, R., Chakravarti, A., & Guha, A. (2015). Two-stage Decisions Increase Preference for Hedonic Options. Organizational Behavior and Human Decision Processes, 130, 123–135.CrossRefGoogle Scholar
  28. Bhatia, S. (2017). Comparing Theories of Reference-Dependent Choice. Journal of Experimental Psychology: Learning, Memory, and Cognition, 43(9), 1490–1507.Google Scholar
  29. Bikhchandani, S., & Huang, C. (2011). The Treasury Bill Auction and the When-Issued Market: Some Evidence. Nabu Press.Google Scholar
  30. Bleichrodt, H., Kothiyal, A., et al. (2013). Compound Invariance Implies Prospect Theory for Simple Prospects. Journal of Mathematical Psychology, 57, 68–77.CrossRefGoogle Scholar
  31. Blocher, J. (2013). Peer Effects in Mutual Funds (Working paper and conference paper). https://www.aeaweb.org/conference/2014/retrieve.php?pdfid=726.
  32. Board, O. (2009, March). Competition and Disclosure. Journal of Industrial Economics, 57(1), 197–213.Google Scholar
  33. Bodnaruk, A., Massa, M., & Simonov, A. (2013). Alliances and Corporate Governance. Journal of Financial Economics, 107(3), 671–693.CrossRefGoogle Scholar
  34. Bonomo, M., Garcia, R., Meddahi, N., & Tédongap, R. (2011). Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices. Review of Financial Studies, 24(1), 82–122.CrossRefGoogle Scholar
  35. Booij, A., Praag, B. V., & Kuilen, G. V. (2010). A Parametric Analysis of Prospect Theory’s Functionals for the General Population. Theory and Decision, 68, 115–148.CrossRefGoogle Scholar
  36. Braga, R., & Fávero, L. (2017). Disposition Effect and Tolerance to Losses in Stock Investment Decisions: An Experimental Study. Journal Of Behavioral Finance, 18(3), 271–280.Google Scholar
  37. Breedon, F., & Turner, P. (2016). On the Transactions Costs of Quantitative easing (BIS Working Papers 571). Bank for International Settlements.Google Scholar
  38. Bromiley, P. (2010). Research Notes and Commentaries: Looking at Prospect Theory. Strategic Management Journal, 31, 1357–1370.Google Scholar
  39. Brooks, R., Mathew, P., & Yang, J. (2014). When-Issued Trading in the Indian IPO Market. Journal of Financial Markets, 19, 170–196.Google Scholar
  40. Bruneau, C., et al. (2012, July). Is The European Sovereign Crisis Self-Fulfilling? Empirical Evidence About The Drivers Of Market Sentiments (Working Paper). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2116240.
  41. Brunnermeir, M., & Pedersen, L. (2009). Market Liquidity and Funding Liquidity. The Review of Financial Studies, 22(6), 2201–2238.CrossRefGoogle Scholar
  42. Busaba, W., & Chang, C. (2010). Bookbuilding vs. Fixed Price Revisited: The Effect of Aftermarket Trading. Journal of Corporate Finance, 16(3), 370–381.Google Scholar
  43. Calluzzo, P., & Dong, G. (2014). Fund Governance Contagion: New Evidence on the Mutual Fund Governance Paradox. Journal of Corporate Finance, 28(C), 83–101.Google Scholar
  44. Camerer, C. (1989). An Experimental Test of Several Generalized Utility Theories. Journal of Risk and Uncertainty, 2(1), 61–104.CrossRefGoogle Scholar
  45. Cammack, E. (1991). Evidence on Bidding Strategies and the Information Contained in Treasury Bill Auctions. Journal of Political Economy, 9, 100–130.CrossRefGoogle Scholar
  46. Cao, J., Leng, T., et al. (2016). Institutional Bidding In Ipo Allocation: Evidence From China. American Finance Association Annual Meeting (AFA) and Allied Social Science Associations (ASSA), January 3–5, 2016, SAN FRANCISCO, CA, USA.Google Scholar
  47. Cenci, M., Corradini, M., Feduzi, A., & Gheno, A. (2015). Half-full or Half-empty? A Model of Decision Making Under Risk. Journal of Mathematical Psychology, 68–69, 1–6.CrossRefGoogle Scholar
  48. Chance, D. (2009). Liquidity and Employee Options: An Empirical Examination of the Microsoft Experience. Journal of Corporate Finance, 15(4), 469–487.CrossRefGoogle Scholar
  49. Chang, H., Chen, A., et al. (2014). IPO price discovery efficiency under alternative regulatory constraints: Taiwan, Hong Kong and the US. International Review of Economics & Finance, 29, 83–96.CrossRefGoogle Scholar
  50. Chau, H., & Rasonyi, M. (2017). Skorohod’s Representation Theorem and Optimal Strategies for Markets with Frictions. https://www.arxiv.org/pdf/1606.07311.pdf.
  51. Chemmanur, T. J., & He, J. (2011). IPO Waves, Product Market Competition, and the Going Public Decision: Theory and Evidence. Journal of Financial Economics, 101(2), 382–412.Google Scholar
  52. Chen, C., Shi, H., & Xu, H. (2014). The IPO Underwriting Market Share in China: Do Ownership and Quality Matter? Journal of Banking and Finance, 46, 177–189.Google Scholar
  53. Chen, H., Shu, P., & Chiang, S. (2011). The Choice Between Bookbuilding and Fixed-Price Offering: Evidence from SEOs in Taiwan. Journal of International Financial Markets, Institutions and Money, 21(1), 28–48.Google Scholar
  54. Christoffersen, J., Plenborg, T., & Robson, M. (2014). Measures of Strategic Alliance Performance, Classified and Assessed. International Business Review, 23(3), 479–489.CrossRefGoogle Scholar
  55. Cici, G. (2012). The Prevalence of the Disposition Effect in Mutual Funds’ Trades. The Journal of Financial and Quantitative Analysis, 47(4), 795–820.CrossRefGoogle Scholar
  56. Claudiu, B. (2013). Formal Representation of Corporate Governance Principles and Codes. Procedia - Social and Behavioral Sciences, 73, 744–750.CrossRefGoogle Scholar
  57. Colla, P., Ippolito, F., & Li, K. (2013). Debt Specialization. The Journal of Finance, 68(5), 2117–2141.CrossRefGoogle Scholar
  58. Compensation Valuation Inc. (2007). Zions Bancorp ESOARS: An Evaluation. http://www.compensationvaluation.com/resources/ESOARS/CVI-opinion.pdf.
  59. Cornell, D., & Shapiro, A. (1989). The Mispricing of U.S. Treasury Bonds: A Case Study. Review of Financial Studies, 2, 297–310.CrossRefGoogle Scholar
  60. D’Amico, S., English, W., López-Salido, D., & Nelson, E. (2012). The Federal Reserve’s Large-scale Asset Purchase Programmes: Rationale and Effects. Economic Journal, 122(564), 415–446.CrossRefGoogle Scholar
  61. Darrough, M. (1993). Disclosure Policy and Competition: Cournot vs. Bertrand. The Accounting Review, 68, 534–561.Google Scholar
  62. Darrough, M., & Deng, M. (2018, in press). The Role of Accounting Information in Optimal Debt Contracts with Informed Lenders. The Accounting Review.Google Scholar
  63. Davies, G., & Satchell, S. (2004). Continuous Cumulative Prospect Theory and Individual Asset Allocation (Cambridge Working Paper in Economics #467). Faculty of Economics, Cambridge University, UK.Google Scholar
  64. Davis-Stober, C., & Brown, N. (2013). Evaluating Decision Maker “Type” Under Image-Additive Utility Representations. Journal of Mathematical Psychology, 57(6), 320–328.CrossRefGoogle Scholar
  65. Davis-Stober, C., Brown, N., & Cavagnaro, D. (2015). Individual Differences in the Algebraic Structure of Preferences. Journal of Mathematical Psychology, 66, 70–82.Google Scholar
  66. Da Costa, N., Goulart, M., et al. (2013). The Disposition Effect and Investor Experience. Journal of Banking & Finance, 37(5), 1669–1675.CrossRefGoogle Scholar
  67. De Broeck, M., & Guscina, A. (2011, January). Government Debt Issuance in the Euro Area: The Impact of the Financial Crisis. https://www.imf.org/external/pubs/ft/wp/2011/wp1121.pdf.
  68. De Giorgi, E., Hens, T., & Mayer, J. (2007). Computational Aspects of Prospect Theory with Asset Pricing Applications. Computational Economics, 29(3–4), 267–281.CrossRefGoogle Scholar
  69. De Rato, R. (2007, August 22). Economic Growth and Financial Market Development: A Strengthening Integration. Speech by Rodrigo de Rato, Managing Director of the International Monetary Fund. https://www.imf.org/en/News/Articles/2015/09/28/04/53/sp082207.
  70. De Ridder, A., & Rusinowska, A. (2008). On Some Procedures of Forming a Multi-partner Alliance. Journal of Economics & Management Strategy, 17(2), 443–487.CrossRefGoogle Scholar
  71. Debt Management Office of Nigeria (2015). Nigerian Treasury Bills Auction Results for November 04, 2015. http://www.dmo.gov.ng/arnews.php.
  72. Degeorge, F., Derrien, F., & Womack, K. (2010). Auctioned IPOs: The US Evidence. Journal of Financial Economics, 98(2), 177–194.Google Scholar
  73. Delatte, A. (2013, July). The European Ban on Naked Sovereign Credit Default Swaps: A Fake Good Idea. Vox. http://www.voxeu.org/article/european-ban-naked-sovereign-credit-default-swaps-fake-good-idea.
  74. DeMarzo, P., & Duffie, D. (1999). A Liquidity-Based Model of Security Design. Econometrica, 67(1), 65–100.CrossRefGoogle Scholar
  75. DeMarzo, P., & Fishman, M. (2007). Optimal Long-Term Financial Contracting. The Review of Financial Studies, 20(6), 2079–2128.CrossRefGoogle Scholar
  76. DeMarzo, P., Kremer, I., & Skrzypacz, A. (2005). Bidding with Securities: Auctions and Security Design. American Economic Review, 95(4), 936–959.CrossRefGoogle Scholar
  77. Dey, A. (2010). The Chilling Effect of Sarbanes-Oxley: A Discussion of Sarbanes-Oxley and Corporate Risk Taking. Journal of Accounting and Economics, 49, 53–57.CrossRefGoogle Scholar
  78. Doern, R., Williams, N., & Vorley, T. (2019). Special Issue on Entrepreneurship and Crises: Business as Usual? An Introduction and Review of the Literature. Entrepreneurship And Regional Development, 31(1–2), 400–412.Google Scholar
  79. Domshlak, C., Hullermeier, E., Kaci, S., & Prade, H. (2011). Preferences in AI: An Overview. Artificial Intelligence, 17(7–8), 1037–1052.Google Scholar
  80. Dooren, B., & Galema, R. (2018). Socially Responsible Investors and the Disposition Effect. Journal of Behavioral and Experimental Finance, 17, 42–52.Google Scholar
  81. Dorow, A., Costa, N., Takase, E., Prates, W., & Silva, S. (2018). On the Neural Substrates of the Disposition Effect and Return Performance. Journal of Behavioral and Experimental Finance, 17, 16–21.Google Scholar
  82. D’Silva, A., Haley, G., & Marshall, D. (2008, November). Explaining the Decline in the Auction Rate Securities Market. Chicago Fed Letter (USA).Google Scholar
  83. Dubois, D., Godo, L., & Prade, H. (2014). Weighted Logics for Artificial Intelligence—An Introductory Discussion. International Journal of Approximate Reasoning, 55(9), 1819–1829.Google Scholar
  84. Elkind, E., Lackner, M., & Peters, D. (2016). Preference Restrictions in Computational Social Choice: Recent Progress. Published in: IJCAI’16 Proceedings of the Twenty-Fifth International Joint Conference on Artificial Intelligence, July 9–15, pp. 4062–4065. New York, USA.Google Scholar
  85. Eom, C. (2018). Institutional Bidding Behaviors During IPO Bookbuilding: Evidence From Korea. Journal of Corporate Finance, 48, 413–427.CrossRefGoogle Scholar
  86. Ericson, K., & Fuster, A. (2014). The Endowment Effect. Annual Review of Economics, 6, 555–579.Google Scholar
  87. Erev, I., Ert, E., & Yechiam, E. (2008). Loss Aversion, Diminishing Sensitivity, and the Effect of Experience on Repeated Decisions. Journal of Behavioral Decision Making, 21, 575–597.Google Scholar
  88. Ert, E., & Erev, I. (2013). On the Descriptive Value of Loss Aversion in Decisions Under Risk: Six Clarifications. Judgment & Decision Making, 8, 214–235.Google Scholar
  89. Eser, F., & Schwaab, B. (2016). Evaluating the Impact of Unconventional Monetary Policy Measures: Empirical Evidence from the ECB’s Securities Markets Programme. Journal of Financial Economics, 119(1), 147–167.CrossRefGoogle Scholar
  90. Ezra, T., Feldman, M., & Friedler, O. (2019). A General Framework for Endowment Effects in Combinatorial Markets. https://arxiv.org/pdf/1903.11360.pdf.
  91. Feng, H., & He, K. (2018). Prospect Theory, Operational Code Analysis, and Risk-Taking Behavior: A New Model of China’s Crisis Behavior. Contemporary Politics, 24(2).Google Scholar
  92. Fichera, J. (2011). Auction Rate Securities Need Reform, Not Just Redemption. http://saberpartners.com/oped/Ars_Market_Analysis_And_Recommendation_5-31-11.pdf.
  93. Finnerty, J. (2012). Pricing of Employee Stock Options: Marketability Does Matter. International Journal of Portfolio Analysis and Management, 1(2), 179–205.CrossRefGoogle Scholar
  94. French, J., Spyker, D., & O’Connor, N. (2014). Magnum P.I.—Getting to the Bottom of IRS and SEC Risks in Equity Compensation. http://www.scu.edu/business/cepi/symposiums/2014/upload/3B_Magnum_PI.pdf.
  95. Fu, R., & Wedge, L. (2011). Managerial Ownership and the Disposition Effect. Journal of Banking & Finance, 35(9), 2407–2417.Google Scholar
  96. Gal, D. (2006). A Psychological Law of Inertia and the Illusion of Loss Aversion. Judgment & Decision Making, 1, 23–32.Google Scholar
  97. García-Pérez, A., Yanes-Estévez, V., & Oreja-Rodríguez, J. (2014). Strategic Reference Points, Risk and Strategic Choices in Small and Medium-Sized Enterprises. Journal of Business Economics and Management, 21(3), 431–449.Google Scholar
  98. Geertsema, P., & Lu, H. (2019, in press). Regulated Price and Demand in China’s IPO Market. Journal of Economics and Business.Google Scholar
  99. Gjerstad, S., & Dickhaut, J. (1998). Price Formation in Double Auctions. Games and Economic Behavior, 22(1), 1–29.Google Scholar
  100. Gneezy, U., Goette, L., et al. (2017). The Limits of Expectations-Based Reference Dependence. Journal of the European Economic Association, 15(4), 861–876.CrossRefGoogle Scholar
  101. Grechuk, B., & Zabarankin, M. (2014). Risk Averse Decision Making Under Catastrophic Risk. European Journal of Operational Research, 239(1), 166–176.CrossRefGoogle Scholar
  102. Grishina, N., Lucas, C., & Date, P. (2017). Prospect Theory–Based Portfolio Optimization: An Empirical Study and Analysis Using Intelligent Algorithms. Quantitative Finance, 17(3), 353–367.Google Scholar
  103. Guha-Khasnobis, B., & Mavrotas, G. (2008). Financial Development, Institutions, Growth and Poverty Reduction. New York: Palgrave Macmillan.Google Scholar
  104. Guru, B., & Yadav, I. (2019). Financial Development and Economic Growth: Panel Evidence From BRICS. Journal of Economics, Finance and Administrative Science 24(47), 113–126.  https://doi.org/10.1108/JEFAS-12-2017-0125.CrossRefGoogle Scholar
  105. Haeussler, C., & Higgins, M. (2014). Strategic Alliances: Trading Ownership for Capabilities. Journal of Economics & Management Strategy, 23(1), 178–203.CrossRefGoogle Scholar
  106. Hałaj, G., Peltonen, T., & Scheicher, M. (2018). How did the Greek Credit Event Impact the Credit Default Swap Market? Journal of Financial Stability, 35, 136–158.Google Scholar
  107. Hamilton, J., & Wu, J. (2012). The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment. Journal of Money, Credit and Banking, 44, 3–46.CrossRefGoogle Scholar
  108. Han, S., & Li, D. (2008, February 15). Liquidity Crisis, Runs, and Security Design: Lessons from the Collapse of the Auction Rate Securities Market. Federal Reserve (USA).Google Scholar
  109. Han, S., & Li, D. (2010). The Fragility of Discretionary Liquidity Provision–Lessons from the Collapse of the Auction Rate Securities Market. Finance and Economics Discussion Series; Divisions of Research & Statistics and Monetary Affairs; Federal Reserve Board, Washington, DC (USA). Available at http://www.federalreserve.gov/pubs/feds/2010/201050/201050pap.pdf.
  110. He, X., & Zhou, X. (2011). Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment. Management Science, 57(2), 315–331.CrossRefGoogle Scholar
  111. Heibatollah, S., & Zhou, H. (2009). The Economic Consequences of Increased Disclosure: Evidence from Cross-Listings of Chinese Firms. Journal of International Financial Management & Accounting, 19(1), 1–27.Google Scholar
  112. Hens, T., & Vlcek, M. (2011). Does Prospect Theory Explain the Disposition Effect? Journal of Behavioral Finance, 12(3), 141–157.Google Scholar
  113. Herbert, B. (2018). Moral Hazard and the Optimality of Debt. The Review of Economic Studies, 85(4), 2214–2252.CrossRefGoogle Scholar
  114. Hershey, J., & Schoemaker, P. (1980). Prospect Theory’s Reflection Hypothesis: A Critical Examination. Organizational Behavior & Human Performance, 25, 395–410.Google Scholar
  115. Hofstede, G. J., Jonker, C. M., & Verwaart, T. (2008, June). Individualism and Collectivism in Trade Agents. In International Conference on Industrial, Engineering and Other Applications of Applied Intelligent Systems (pp. 492–501). Berlin, Heidelberg: Springer.Google Scholar
  116. Huang, H., Chiang, M., et al. (2017). Fixed-Price, Auction, and Bookbuilding IPOs: Empirical Evidence in Taiwan. Finance Research Letters, 22, 11–19.CrossRefGoogle Scholar
  117. Huang, C., Kuo, L., & Hsieh, T. (2017). The Disposition Effect, Price Performance and Fundamentals of IPOs: Evidence From Taiwan. Investment Analysts Journal, 263–278.Google Scholar
  118. Hung, M., & Wang, J. (2005). Asset Prices Under Prospect Theory and Habit Formation. Review of Pacific Basin Financial Markets and Policies, 8(1), 1–29.Google Scholar
  119. Hwang, Y., & Kirby, A. J. (2004). Competitive Effects of Disclosure in a Strategic Entry Model. Review of Accounting Studies, 5(1), 57–85.Google Scholar
  120. Jagannathan, R., Jirnyi, A., & Sherman, A. (2015). Share Auctions of Initial Public Offerings: Global Evidence. Journal of Financial Intermediation, 24(3), 283–311.Google Scholar
  121. Jegadeesh, N. (1993). Treasury Auction Bids and the Salomon Squeeze. Journal of Finance, 48, 1403–1419.CrossRefGoogle Scholar
  122. Jiao, P. (2017). Belief in Mean Reversion and the Disposition Effect: An Experimental Test. Journal Of Behavioral Finance, 18(1), 29–44.CrossRefGoogle Scholar
  123. Jie, P., Fu, M., et al. (2016). “Cumulative Prospect Theory Meets Reinforcement Learning: Prediction And Control”. In Proceedings of the 33rd International Conference on Machine Learning (Vol. 48).Google Scholar
  124. Jin, H., & Zhou, X. (2013). Greed, Leverage, and Potential Losses: A Prospect Theory Perspective. Mathematical Finance, 23(1), 122–142.CrossRefGoogle Scholar
  125. Johnston, M. (2007, September 17). Firms Caught in Money Lockup—Failed Auctions Make Cash Stashes Illiquid; as Much as $6 Billion Tied Up. Financial Week. Available at http://www.financialweek.com/apps/pbcs.dll/article?AID=/20070917/REG/70914033.
  126. Jordan, B. D., & Jordan, S. (1997). Special Repo Rates: An Empirical Analysis. Journal of Finance, 52, 2051–2072.CrossRefGoogle Scholar
  127. Kadous, K., Tayler, W., et al. (2014). Individual Characteristics and the Disposition Effect: The Opposing Effects of Confidence and Self-Regard. Journal of Behavioral Finance, 15(3), 235–250.Google Scholar
  128. Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision Under Risk. Econometrica, 47(2), 263–291.CrossRefGoogle Scholar
  129. Kedia, S., & Rajgopal, S. (2011). Do the SEC’s Enforcement Preferences Affect Corporate Misconduct? Journal of Accounting & Economics, 51(3), 259–278.Google Scholar
  130. Khurshed, A., Paleari, S., et al. (2014). Transparent Bookbuilding, Certification and Initial Public Offerings. Journal of Financial Markets, 19, 154–169.CrossRefGoogle Scholar
  131. Kido, T., & Swan, M. (2015). Ambient Intelligence and Crowdsourced Genetics for Understanding Loss Aversion in Decision Making. 2015 AAAI Spring Symposium.Google Scholar
  132. Kirby, A. (2004). The Product Market Opportunity Loss of Mandated Disclosure. Information Economics & Policy, 16, 553–577.CrossRefGoogle Scholar
  133. Kontek, K. (2010). Multi-Outcome Lotteries: Prospect Theory vs. Relative Utility. Available at SSRN https://ssrn.com/abstract=1617225 or http://dx.doi.org/10.2139/ssrn.1617225.
  134. Kontek, K. (2011). On Mental Transformations. Journal of Neuroscience, Psychology & Economics, 4(4), 235–253.CrossRefGoogle Scholar
  135. Kontek, K., & Lewandowski, M. (2017). Range-Dependent Utility. Management Science. Articles in Advance,  https://doi.org/10.1287/mnsc.2017.2744.CrossRefGoogle Scholar
  136. Krishnamurthy, A., & Vissing-Jorgensen, A. (2011). The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy. Brookings Papers on Economic Activity, 42(2), 215–287.CrossRefGoogle Scholar
  137. Laskovaia, A., Marino, L., et al. (2019). Expect the Unexpected: Examining the Shaping Role of Entrepreneurial Orientation on Causal and Effectual Decision-Making Logic During Economic Crisis. Entrepreneurship and Regional Development, 31(1–2), 456–475.CrossRefGoogle Scholar
  138. Leal, C., Armada, M., & Duque, J. (2010). Are all Individual Investors Equally Prone to the Disposition Effect all the Time? New Evidence From a Small Market.” New Evidence from a Small Market (October 1, 2010). Frontiers in Finance and Economics, 7(2), 38–68.Google Scholar
  139. Lee, J., Yen, P., & Chan, K. (2013). Market States and Disposition Effect: Evidence From Taiwan Mutual Fund Investors. Applied Economics, 45(10), 1331–1342.Google Scholar
  140. Levy, M., & Levy, H. (2002a). Experimental Test of the Prospect Theory Value Function: A Stochastic Dominance Approach. Organizational Behavior & Human Decision Processes, 89(2), 1058–1081.Google Scholar
  141. Levy, M., & Levy, H. (2002b). Arrow-Pratt Risk Aversion, Risk Premium and Decision Weights. Journal of Risk & Uncertainty, 25(3), 265–290.Google Scholar
  142. Lewandowski, M. (2017a). Is Expected Utility an Ex-Hypothesis? Some Implications of a Reference-Dependent Expected Utility Model. Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3064682.
  143. Lewandowski, M. (2017b). Prospect Theory Versus Expected Utility Theory: Assumptions, Predictions, Intuition and Modelling of Risk Attitudes. Central European Journal of Economic Modelling and Econometrics, 9, 275–321.Google Scholar
  144. Li, S. (1995). Is There a Decision Weight π? Journal of Economic Behavior and Organization, 27(3), 453–463.CrossRefGoogle Scholar
  145. Li, L. (2014). The Optimal Portfolio Selection Model Under—Expectation. Abstract & Applied Analysis, Article ID, 426036, 2014.  https://doi.org/10.1155/2014/426036.CrossRefGoogle Scholar
  146. Li, C., & Wei, M. (2013). Term Structure Modeling with Supply Factors and the Federal Reserve’s Large-Scale Asset Purchase Programs. International Journal of Central Banking, 9(1), 3–39.Google Scholar
  147. Lia, Y., & Yang, L. (2013). Prospect Theory, the Disposition Effect and Asset Prices. Journal of Financial Economics, 107, 715–739.Google Scholar
  148. Liang, Y., & Lee, A. (2017). Fear of Autonomous Robots and Artificial Intelligence: Evidence from National Representative Data with Probability Sampling. International Journal of Social Robotics, 9, 379–384.Google Scholar
  149. Liao, W., Lu, C., & Wang, H. (2014). Venture Capital, Corporate Governance, and Financial Stability of IPO Firms. Emerging Markets Review, 18, 19–33.Google Scholar
  150. Lichtenstein, S., & Slovic, P. (1971). Reversals of Preference Between Bids and Choices in Gambling Decisions. Journal of Experimental Psychology, 89(1), 46.Google Scholar
  151. Lichtenstein, S., & Slovic P. (1973). Response-Induced Reversals of Preference in Gambling: An Extended Replication in Las Vegas. Journal of Experimental Psychology, 101(1), 16.Google Scholar
  152. Ling, C., Wei, C., et al. (2017). Advertising, Risk Tolerance and Investor’s Behaviors: Theory and Evidence from the Mutual Fund Industry. Conference paper. Book Chapter in “The Customer is NOT Always Right? Marketing Orientations In a Dynamic Business World”, pp. 866–866 (Springer).Google Scholar
  153. Liu, Z., Jorion, P., & Shi, C. (2008). Informational Effects of Regulation FD: Evidence from Rating Agencies. Journal of Financial Economics, 76(2), 309–330.Google Scholar
  154. Liu, Y., Nacher, J., Martino, M., et al. (2014). Prospect Theory for Online Financial Trading. PLoS One, 9(10), e109458. http://www.ncbi.nlm.nih.gov/pmc/articles/PMC4198126/.CrossRefGoogle Scholar
  155. Liu, Y., Shu, P., & Zhang, Y. (2014). Risk Decision Analysis in Emergency Response: A Method Based on Cumulative Prospect Theory. Computers & Operations Research, 42, 75–82.Google Scholar
  156. Liua, S., Liu, X., & Qin, J. (2018). Three-Way Group Decisions Based on Prospect Theory. Journal of the Operational Research Society, 69(1).Google Scholar
  157. Livingston, J. (Zions Bancorp). (2006). Bancorporation ESOARS: Summary Prepared for Office of the Chief Accountant Securities and Exchange Commission. https://www.auctions.zionsdirect.com/static/doc/zions_submission.pdf.
  158. Lopes, L., & Oden, G. (1999). The Role of Aspiration Level in Risky Choice: A Comparison of Cumulative Prospect Theory and SP/A Theory. Journal of Mathematical Psychology, 43(2), 286–313.Google Scholar
  159. Lou, D., Yan, H., & Zhang, J. (2013). Anticipated and Repeated Shocks in Liquid Markets. Mimeo, London School of Economics and Yale University, available on SSRN.Google Scholar
  160. Lowry, M., & Shu, S. (2002). Litigation Risk and IPO Underpricing. Journal of Financial Economics, 65(3), 309–335.Google Scholar
  161. Luce, D., & Fishburn, P. (1991). Rank- and Sign-dependent Linear Utility Models for Finite First-order Gambles. Journal of Risk and Uncertainty, 4(1), 29–59.Google Scholar
  162. Malvey, P., Archibald, C., & Flynn, S. (2014). Uniform-Price Auctions: Evaluation of the Treasury Experience. Office of Market Finance, U.S. Treasury, Washington, DC. 20220. http://www.treasury.gov/resource-center/fin-mkts/Documents/final.pdf.
  163. Marcato, G., Milcheva, S., & Zheng, C. (2018). Market Integration, Country Institutions and IPO Underpricing. Journal of Corporate Finance, 53, 87–105.Google Scholar
  164. Martellini, L., Milhau, V., & Tarelli, A. (2018). Capital Structure Decisions and the Optimal Design of Corporate Market Debt Programs. Journal of Corporate Finance, 49, 141–167.CrossRefGoogle Scholar
  165. Matvos, G., & Ostrovsky, M. (2010). Heterogeneity and Peer Effects in Mutual Fund Proxy Voting. Journal of Financial Economics, 98(1), 90–112.Google Scholar
  166. Mazumdar, S., Nanda, V., & Surana, R. (2009). Using Auctions to Price Employee Stock Options: The Case of Zions Bancorporation ESOARS. Financial Analysts Journal, 65(6), 79–99.CrossRefGoogle Scholar
  167. McCarter, M., Rockmann, K., & Northcraft, G. (2010). Is It Even Worth It? The Effect of Loss Prospects in the Outcome Distribution of a Public Goods Dilemma. Organizational Behavior and Human Decision Processes, 111(1), 1–12.CrossRefGoogle Scholar
  168. McConnell, J., & Saretto, A. (2010). Auction Failures and the Market for Auction Rate Securities. Journal of Financial Economics, 97, 451–469.CrossRefGoogle Scholar
  169. Meaning, J., & Zhu, F. (2011, December). The Impact of Recent Central Bank Asset Purchase Programmes. BIS Quarterly Review, Bank for International Settlements.Google Scholar
  170. Melendy, S. (2011). Monitoring Legal Compliance: The Growth of Compliance Committees. Accounting Perspectives, 10(4), 241–263.CrossRefGoogle Scholar
  171. Menyah, K., Nazlioglu, S., & Wolde-Rufael, Y. (2014). Financial Development, Trade Openness and Economic Growth in African Countries: New Insights from a Panel Causality Approach. Economic Modelling, 37, 386–394.Google Scholar
  172. Migdał, P., Rączaszek-Leonardi, J., Denkiewicz, M., & Plewczynski, D. (2012). Information-sharing and Aggregation Models for Interacting Minds. Journal of Mathematical Psychology, 56(6), 417–426.CrossRefGoogle Scholar
  173. Milton, F. (1964). Comment on Collusion in the Auction Market for Treasury Bills. Journal of Political Economy, 72, 513–514.CrossRefGoogle Scholar
  174. Mirazizov, A., Radzhabova, I., & Abdulaeva, M. (2013). The Effectiveness of Financial and Monetary Instruments of Sustainable Development in Tajikistan’s Economy and Ways of Improving Them. Journal of Internet Banking and Commerce.Google Scholar
  175. Moldogaziev, T., & Luby, M. (2016). Too Close for Comfort: Does the Intensity of Municipal Advisor and Underwriter Relationship Impact Bond Borrowing Costs? Public Budgeting & Finance, 36(3), 69–93.CrossRefGoogle Scholar
  176. Muhl, S., & Talpsepp, T. (2018). Faster Learning in Troubled Times: How Market Conditions Affect the Disposition Effect. The Quarterly Review of Economics and Finance, 68, 226–236.Google Scholar
  177. Mukherjee, S., Sahay, A., Pammi, V., & Srinivasan, N. (2017). Is Loss-Aversion Magnitude-Dependent? Measuring Prospective Affective Judgments Regarding Gains and Losses. Judgment and Decision Making, 12(1), 81–89.Google Scholar
  178. Naor, N. (2006). Reporting on Financial Derivatives—A Law and Economics Perspective. European Journal of Law & Economics, 21(3), 285–314.CrossRefGoogle Scholar
  179. Neilson, W., & Stowe, J. (2002). A Further Examination of Cumulative Prospect Theory Parameterizations. Journal of Risk and Uncertainty, 24(1), 31–46.CrossRefGoogle Scholar
  180. Neupane, S., Marshall, A., et al. (2017). Do Investors Flip Less in Bookbuilding than in Auction IPOs? Journal of Corporate Finance, 47, 253–268.CrossRefGoogle Scholar
  181. Neupane, S., & Poshakwale, S. (2012). Transparency in IPO Mechanism: Retail Investors’ Participation, IPO Pricing and Returns. Journal of Banking & Finance, 36(7), 2064–2076.Google Scholar
  182. Nicolau, J. (2012). Asymmetric Tourist Response to Price: Loss Aversion Segmentation. Journal of Travel Research, 51(5).CrossRefGoogle Scholar
  183. Nikolaev, V. (2017). Scope for Renegotiation in Private Debt Contracts. Journal of Accounting and Economics, 65(2), 270–301.Google Scholar
  184. Nobuo, S., Yoshikatsu, F., & Kazuhiko, T. (2013). Loss Aversion Behavior Utterances Extraction in Internet with Expected Utility. In Proceedings of Advanced Techniques for Knowledge Engineering and Innovative Applications (pp. 16–24). Part of the Communications in Computer and Information Science Book Series (CCIS, Vol. 246). Berlin, Heidelberg: Springer.Google Scholar
  185. Noe, T., & Nachman, D. (1994). Optimal Design of Securities Under Asymmetric Information. Review of Financial Studies, 7(1), 1–44.CrossRefGoogle Scholar
  186. Nwogugu, M. (2003). Decision-Making Under Uncertainty: A Critique of Options Pricing Models. Journal of Derivatives & Hedge funds, 9(2), 164–178.Google Scholar
  187. Nwogugu, M. (2004). Legal, Economic and Behavioral Issues in Accounting for Stock Options. Managerial Auditing Journal, 19(9), 1078–1118.CrossRefGoogle Scholar
  188. Nwogugu, M. (2005a). Towards Multifactor Models of Decision Making and Risk: Critique of Prospect Theory and Related Approaches, Part-One. Journal of Risk Finance, 6(2), 150–162.CrossRefGoogle Scholar
  189. Nwogugu, M. (2005b). Towards Multifactor Models of Decision Making and Risk: Critique of Prospect Theory and Related Approaches, Part-Two. Journal of Risk Finance, 6(2), 163–173.Google Scholar
  190. Nwogugu, M. (2006a). Regret Minimization, Willingness-To-Accept-Losses and Framing. Applied Mathematics and Computation, 179(2), 440–450.CrossRefGoogle Scholar
  191. Nwogugu, M. (2006b). A Further Critique of Cumulative Prospect Theory and Related Approaches. Applied Mathematics and Computation, 179(2), 451–465.CrossRefGoogle Scholar
  192. Nwogugu, M. (2007). Equity-Based Incentives: Wealth Transfers, Disruption Costs and New Models. Corporate Control & Ownership, 5(1), 292–304.Google Scholar
  193. Nwogugu, M. (2008). The Efficiency of Sarbanes-Oxley Act: Willingness to Comply and Agency Problems. Corporate Control & Ownership, 5(1), 449–454.Google Scholar
  194. Nwogugu, M. (2010/2012). A Critique of Options-Based Indices and CDS Indices. Available in www.ssrn.com.
  195. Nwogugu, M. (2013). Decision-Making, Sub-Additive Recursive “Matching” Noise and Biases in Risk-Weighted Index Calculation Methods in In-Complete Markets with Partially Observable Multi-Attribute Preferences. Discrete Mathematics, Algorithms & Applications, 5, 1350020.  https://doi.org/10.1142/s1793830913500201.CrossRefGoogle Scholar
  196. Nwogugu, M. (2015a). Goodwill/Intangibles Rules and Earnings Management. European Journal of Law Reform, 17(1), 1–10.Google Scholar
  197. Nwogugu, M. (2015b). Failure of the Dodd-Frank Act. Journal of Financial Crime, 22(4), 520–572.CrossRefGoogle Scholar
  198. Nwogugu, M. (2015c). Un-Constitutionality of the Dodd-Frank Act. European Journal of Law Reform, 17, 185–190.CrossRefGoogle Scholar
  199. Nwogugu, M. (2015d). Real Options, Enforcement of and Goodwill/Intangibles Rules and Associated Behavioral Issues. Journal of Money Laundering Control, 18(3), 330–351.CrossRefGoogle Scholar
  200. Nwogugu, M. (2015e). Corporate Governance and Enterprise-Risk Management: The Case of “ESOARS” and “Auction-Rate Securities” (“ARS”); and a Critique of Third-Generation Prospect Theory and Related Methods (Working Paper).Google Scholar
  201. Nwogugu, M. (2016a). Economic Psychology Issues Inherent in Illegal Online Filesharing by Individuals and Institutions and Illegal Online FileSharing as Production Systems. In M. Nwogugu (Ed.), Illegal Online Fileshring, Decision Analysis, and the Pricing of Digital Goods. CRC Press.Google Scholar
  202. Nwogugu, M. (2016b). The Free Rider Problem, Inequality in Networks and a Critique of Tit-for-Tat Mechanisms. In M. Nwogugu (Ed.), Illegal Online Fileshring, Decision Analysis, and the Pricing of Digital Goods. CRC Press.Google Scholar
  203. Nwogugu, M. (2017a). Regret Theory and Asset Pricing Anomalies in Incomplete Markets with Dynamic Un-Aggregated Preferences. In M. Nwogugu (Ed.), Anomalies in Net Present Value, Returns and Polynomials, and Regret Theory in Decision Making (Chapter 3). Palgrave Macmillan.Google Scholar
  204. Nwogugu, M. (2017b). Spatio-Temporal Framing Anomalies in the NPV-MIRR-IRR Model and Related Approaches. In M. Nwogugu (Ed.), Anomalies in Net Present Value, Returns and Polynomials, and Regret Theory in Decision Making (Chapter 2). Palgrave Macmillan.Google Scholar
  205. Nwogugu, M. (2017c). Some Biases and Evolutionary Homomorphisms Implicit in the Calculation of Returns. In M. Nwogugu (Ed.), Anomalies in Net Present Value, Returns and Polynomials, and Regret Theory in Decision Making (Chapter 8). Palgrave Macmillan.Google Scholar
  206. Nwogugu, M. (2017d). The Historical and Current Concepts of “Plain” Interest Rate, Forward Rates and Discount Rate are or can be Misleading. In M. Nwogugu (Ed.), Anomalies in Net Present Value, Returns and Polynomials, and Regret Theory in Decision Making (Chapter 6). Palgrave Macmillan.Google Scholar
  207. Nwogugu, M. (2019a). Human Computer Interaction, Incentive Conflicts and Methods for Eliminating Index Arbitrage, Index-Related Mutual Fund Arbitrage And ETF Arbitrage. In M. Nwogugu (Ed.), Indices, Index Funds and ETFs HCI: Exploring HCI, Nonlinear Risk and Homomorphisms (Chapter 9). Palgrave Macmillan.Google Scholar
  208. Nwogugu, M. (2019b). Number Theory, Structural Biases and Homomorphisms in Traditional Stock/Bond/Commodity Index Calculation Methods in Incomplete Markets with Partially Un-Observable Un-Aggregated Preferences, MN-Transferable-Utilities and Regret Minimization Regimes. In M. Nwogugu (Ed.), Indices, Index Funds and ETFs HCI: Exploring HCI, Nonlinear Risk and Homomorphisms (Chapter 2). Palgrave Macmillan.Google Scholar
  209. Nwogugu, M. (2019c). Economic Policy, Complex Adaptive Systems, Human-Computer Interaction and Managerial Psychology: Popular-Index Ecosystems. In M. Nwogugu (Ed.), Indices, Index Funds and ETFs HCI: Exploring HCI, Nonlinear Risk and Homomorphisms (Chapter 12). Palgrave Macmillan.Google Scholar
  210. Nwogugu, M. (2019d). Indices, Index Funds and ETFs HCI: Exploring HCI, Nonlinear Risk and Homomorphisms. Palgrave Macmillan.Google Scholar
  211. Nwogugu, M. (2019e). Financial Indices, Joint Ventures and Strategic Alliances Invalidate Cumulative Prospect Theory, Third Generation Prospect Theory and Intertemporal Asset Pricing Theory: HCI and Three New Decision Models. In M. Nwogugu (Ed.), Indices, Index Funds and ETFs HCI: Exploring HCI, Nonlinear Risk and Homomorphisms (Chapter 11). Palgrave Macmillan.Google Scholar
  212. Nwogugu, M. (2019f). Informationles Trading and Biases in Performancce Measurement: Inefficiency of the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio and DEA Based Performance Measures and Related Measures. In M. Nwogugu (Ed.), Indices, Index Funds and ETFs HCI: Exploring HCI, Nonlinear Risk and Homomorphisms (Chapter 6). Palgrave Macmillan.Google Scholar
  213. Nwogugu, M. (2019g). Complex Adaptive Systems, Sustainable Growth and Securities Law: On Inequality, Preferences+Reasoning and the “Optimal Design of Financial Contracts”. In Chapter 5: Earnings Management, Fintech-Driven Incentives and Sustainable Growth: On Complex-Systems, Legal and Mechanism Design Factors (Taylor Francis imprint, forthcoming).Google Scholar
  214. Nyborg, K., Sundaresan, S., & Rydqvist, K. (2005). Bidder Behavior in Multiunit Auctions: Evidence from Swedish Treasury Auctions. Journal of Political Economy, 78(3), 997–1021.Google Scholar
  215. Odean, T. (1998). Are Investors Reluctant to Realize Their Losses? The Journal of Finance, 53(5), 1775–1798.CrossRefGoogle Scholar
  216. Olsen, R (1997). Prospect Theory as an Explanation of Risky Choice by Professional Investors: Some Evidence. Review of Financial Economics, 6(2), 225–233.CrossRefGoogle Scholar
  217. Ortona, G., & Scacciati, F. (1992). New Experiments on the Endowment Effect. Journal of Economic Psychology, 13, 277–296.Google Scholar
  218. Pae, S. (2000). Information Sharing in the Presence of Preemptive Incentives: Economic Consequences of Mandatory Disclosure. Review of Accounting Studies, 5(4), 331–350.CrossRefGoogle Scholar
  219. Pae, S. (2002). Optimal Disclosure Policy in Oligopoly Markets. Journal of Accounting Research, 40(3), 901–932.CrossRefGoogle Scholar
  220. Pan, P. (June 30, 2006). True Colors of an ‘Auction’ Market: What the SEC Unveiled in the Auction Rate Securities Market. Capital Advisors Group, Credit Commentary.Google Scholar
  221. Pavlov, Y. (2017). Value Based Decision Control For Complex Systems. In Information Resources Management Association (USA). Artificial Intelligence: Concepts, Methodologies, Tools and Applications (IGI Global).Google Scholar
  222. Peters, D. (2017). Condorcet’s Principle and the Preference Reversal Paradox. 16th Conference on Theoretical Aspects of Rationality and Knowledge.Google Scholar
  223. Pigozzi, G., Tsoukiàs, A., & Viappiani, P. (2016). Preferences in Artificial Intelligence. Annals of Mathematics and Artificial Intelligence, 77(3–4), 361–401.Google Scholar
  224. Pirvu, T. A., & Schulze, K. (2012). Multi-stock Portfolio Optimization Under Prospect Theory. Mathematics and Financial Economics, 6(4), 337–362.CrossRefGoogle Scholar
  225. Ploner, M. (2017). Hold on to it? An Experimental Analysis of the Disposition Effect. Judgment and Decision Making, 12, 118–127.Google Scholar
  226. Portes, R. (2012, April). Credit Default Swaps: Useful, Misleading, Dangerous? Vox (April 30, 2012). http://www.voxeu.org/article/credit-default-swaps-useful-misleading-dangerous. See also Portes, supra note 14.
  227. Ratliff, L. & Mazumdar, E. (2017, November). Inverse Risk-Sensitive Reinforcement Learning. https://arxiv.org/pdf/1703.09842.pdf.
  228. Rau, H. (2015). The Disposition Effect in Team Investment Decisions: Experimental Evidence. Journal of Banking & Finance, 61, 272–282.CrossRefGoogle Scholar
  229. Rieger, M., & Bui, T. (2011). Too Risk-Averse for Prospect Theory? Modern Economy, 2(4), 691–700.CrossRefGoogle Scholar
  230. Roberts, M. (2015). The Role of Dynamic Renegotiation and Asymmetric Information in Financial Contracting. Journal of Financial Economics, 116(2015), 61–68.CrossRefGoogle Scholar
  231. Robinson, D. T. (2008). Strategic Alliances and the Boundaries of the Firm. Review of Financial Studies, 21, 649–681.CrossRefGoogle Scholar
  232. Sabri, N. (2011). The Role of Financial Instruments in Economic Development of Mediterranean Countries. International Review of Applied Financial Issues and Economics, 3(3), 504–512.Google Scholar
  233. Sarmiento, J., Rendón, J., et al. (2019). The Disposition Effect and the Relevance of the Reference Period: Evidence Among Sophisticated Investors. Journal of Behavioral and Experimental Finance, in press.Google Scholar
  234. Schlepper, K., Riordan, R., et al. (2017). Scarcity Effects of QE: A Transaction-Level Analysis in the Bund Market (Discussion Papers 06/2017). Deutsche Bundesbank.Google Scholar
  235. Schmidt, U. (2003). Reference Dependence in Cumulative Prospect Theory. Journal of Mathematical Psychology, 47, 122–131.CrossRefGoogle Scholar
  236. Schmidt, U., & Zank, H. (2008). Risk Aversion in Cumulative Prospect Theory. Management Science, 54(1), 208–216.CrossRefGoogle Scholar
  237. Schmidt, S., Starmer, C., & Sugden, R. (2008). Third Generation Prospect Theory. Journal of Risk and Uncertainty, 36, 203–223.CrossRefGoogle Scholar
  238. Schneider, M., & Day, R. (2016). Target-Adjusted Utility Functions and Expected-Utility Paradoxes. Management Science.Google Scholar
  239. Scholten, M., & Read, D. (2014). Prospect Theory and the ‘Forgotten’ Fourfold Pattern of Risk Preferences. Journal of Risk and Uncertainty, 48(1), 67–83.Google Scholar
  240. Seale, D., Arend, R., & Phelan, S. (2006). Modeling Alliance Activity: Opportunity Cost Effects and Manipulations in an Iterated Prisoner’s Dilemma with Exit Option. Organizational Behavior and Human Decision Processes, 100(1), 60–75.CrossRefGoogle Scholar
  241. Securities Litigation & Consulting Group. (2011). Auction Rate Securities. http://www.slcg.com/pdf/workingpapers/SLCG-ARS%20Paper.pdf.
  242. Shani, Y., Danziger, S., & Zeelenberg, M. (2015). Choosing Between Options Associated with Past and Future Regret. Organizational Behavior and Human Decision Processes, 126, 107–114.CrossRefGoogle Scholar
  243. Shen, J. (2017). Hybrid IS-VWAP Dynamic Algorithmic Trading via LQR. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2984297.
  244. Shen, J., & Yu, J. (2014). Styled Algorithmic Trading and the MV-MVP Style. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2507002.
  245. Shoji, I., & Kanehiro, S. (2016). Disposition Effect as a Behavioral Trading Activity Elicited by Investors’ Different Risk Preferences. International Review of Financial Analysis, 46, 104–112.Google Scholar
  246. Shu, P., Yeh, Y., & Yamada, T. (2002). The Behavior of Taiwan Mutual Fund Investors—Performance and Fund Flows. Pacific-Basin Finance Journal, 10(5), 583–600.Google Scholar
  247. Shuotong, X., & Yanxi, L. (2012). Game Analysis of Earnings Management Considered Managerial Risk Preferences. In Y. Zhang (Ed.), Future Communication, Computing, Control and Management. Lecture Notes in Electrical Engineering, Vol. 142. Berlin and Heidelberg: Springer.Google Scholar
  248. Silva, A. (2003). Bidding Strategies in Brazilian Treasury Auctions. Revista Brasileira de Financas, 1(1), 113–161.Google Scholar
  249. Simon, D. (1994). Markups, Quantity Risk and Bidding Strategies at Treasury Coupon Auctions. Journal of Financial Economics, 35, 43–62.CrossRefGoogle Scholar
  250. Singal, V., & Xu, Z. (2011). Selling Winners, Holding Losers: Effect on Fund Flows and Survival of Disposition-Prone Mutual Funds. Journal of Banking & Finance, 35, 2704–2718.Google Scholar
  251. Smith, A. (2011). An Experimental Study of Exclusive Contracts. International Journal of Industrial Organization, 29(1), 4–13.CrossRefGoogle Scholar
  252. Snaije, B. (2017). Can Finance and Credit Enable Economic Growth and Democracy? In G. Luciani (Ed.), Combining Economic and Political Development: The Experience of MENA (International Development Policy series 7, pp. 132–143). Geneva: Graduate Institute Publications, Boston: Brill-Nijhoff.Google Scholar
  253. Solnik, B., & Zuo, L. (2012). A Global Equilibrium Asset Pricing Model with Home Preference. Management Science, 58(2), 273–292.Google Scholar
  254. Song, Z., & Zhu, H. (2018). Quantitative Easing Auctions of Treasury Bonds. Journal of Financial Economics, 128(1), 103–124.CrossRefGoogle Scholar
  255. Starmer, C. (2000). Developments in Non-expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk. Journal of Economic Literature, 38(2), 332–382.CrossRefGoogle Scholar
  256. Starmer, C., & Sugden, R. (1989). Probability and Juxtaposition Effects: An Experimental Investigation of the Common Ratio Effect. Journal of Risk and Uncertainty, 2(2), 159–178.Google Scholar
  257. Strawderman, L., & Zhang, H. (2009). Certainty Effect. In M. Kattan (Ed.), Encyclopedia of Medical Decision Making. http://dx.doi.org/10.4135/9781412971980.n33.
  258. Sundaresan, S. (1994). An Empirical Analysis of U.S. Treasury Auctions: Implications for Auction and Term Structure Theories. Journal of Fixed Income, 4(2), 35–50.CrossRefGoogle Scholar
  259. Sundaresan, S., & Nyborg, K. (1996). Discriminatory versus Uniform Treasury Auctions: Evidence from When-issued transactions. Journal of Financial Economics, 9(42), 63–104.Google Scholar
  260. SVB Financial Group. (2007, August 15). Auction Rate Securities: Know the Risks and Rewards. Available at http://www.svbassetmanagement.com/pdfs/AuctionRateSecurities0907.pdf.
  261. Talpsepp, T., Vlcek, M., & Wang, M. (2014). Speculating in Gains, Waiting in Losses: A Closer Look at the Disposition Effect. Journal of Behavioral and Experimental Finance, 2, 31–43.Google Scholar
  262. Tamura, H. (2009). Modeling Ambiguity Averse Behavior of Individual Decision Making. In V. Torra, Y. Narukawa, & N. Inuigucji (Eds.), Modelling Decisions for Artificial Intelligence. Berlin, Heidelberg: Springer. LNAI 5861.Google Scholar
  263. Trepel, C., Fox, C. R., & Poldrack, R. A. (2005). Prospect Theory on the Brain? Toward a Cognitive Neuroscience of Decision Under Risk. Brain Research. Cognitive Brain Research, 23, 34–50.CrossRefGoogle Scholar
  264. Triantis, G. (2013). Exploring the Limits of Contract Design in Debt Financing. University of Pennsylvania Law Review, 161, 2014–2044.Google Scholar
  265. Tung, S. (2012). Disposition Effect Among High-Turnover Mutual Fund Managers in Taiwan. Journal of Innovation and Management, 9(1), 2–24.Google Scholar
  266. Tversky, A., & Kahneman, D. (1992). Advances in Prospect Theory: Cumulative Representation of Uncertainty. Journal of Risk and Uncertainty, 5, 297–323.CrossRefGoogle Scholar
  267. Tversky, A., Slovic, P., & Kahneman, D. (1990). The Causes of Preference Reversal. The American Economic Review, 80(1), 204–217.Google Scholar
  268. Valle, M., & Ruz, G. (2015). Turnover Prediction in a Call Center: Behavioral Evidence of Loss Aversion using Random Forest and Naïve Bayes Algorithms. Applied Artificial Intelligence: An International Journal, 29(9), 923–942.Google Scholar
  269. Van Dijk, E., & Van Knippenberg, B. (1998). Trading Wine: On the Endowment Effect, Loss Aversion and the Comparability of Consumer Goods. Journal of Economic Psychology, 19, 485–495.Google Scholar
  270. Wakker, P. (2010). Prospect Theory: For Risk and Ambiguity. Cambridge, UK: Cambridge University Press.CrossRefGoogle Scholar
  271. Wakker, P., & Tversky, A. (1993). An Axiomatization of Cumulative Prospect Theory. Journal of Risk and Uncertainty, 7(2), 147–175.CrossRefGoogle Scholar
  272. Walasek, L., & Stewart, N. (2015). How to Make Loss Aversion Disappear and Reverse: Tests of the Decision by Sampling Origin of Loss Aversion. Journal of Experimental Psychology: General, 144(1), 7–11.Google Scholar
  273. Wang, Z., Su, B., et al. (2018). Prospect Theory and IPO Returns in China. Journal of Corporate Finance, 48, 726–751.CrossRefGoogle Scholar
  274. Wen, Y. (2010). Capital Investment Decision, Corporate Governance and Prospect Theory. Procedia Social & Behavioral Sciences, 5, 116–126.CrossRefGoogle Scholar
  275. Wettschereck, D., Aha, D., & Mohri, T. (1997). A Review and Empirical Evaluation of Feature Weighting Methods for a Class of Lazy Learning Algorithms. Artificial Intelligence Review, 11(1–5), 273–314.Google Scholar
  276. Woolford, G. (2013). Why South African Boards Construe Elements of Their Regulatory Obligations Differently in respect of Enterprise Risk Management (ERM). Thesis For Doctor of Business Administration, Edinburgh Business School at Heriott Watt University, Scotland, UK. http://www.ros.hw.ac.uk/bitstream/10399/2621/1/WoolfordG_1013_ebs.pdf.
  277. Wu, S., Dutta, J., et al. (2018). The Systematic Biases in Decision-Making in the Mutual-Fund Markets: Market States and Disposition Effect. Cogent Economics & Finance, 6(1).CrossRefGoogle Scholar
  278. Yan, J., & Bao, H. (2018). A Prospect Theory-based Analysis of Housing Satisfaction with Relocations: Field Evidence from China. Cities, 83, 193–202.Google Scholar
  279. Yang, G., & Liu, X. (2018). A Commuter Departure-Time Model Based on Cumulative Prospect Theory. Mathematical Methods of Operations Research, 87(2), 285–307.Google Scholar
  280. Yechiam, E., Telpaz, A., & Hochman, G. (2014). The Complaint Bias in Subjective Evaluations of Incentives. Decision, 1, 147–160.Google Scholar
  281. Yogo, M. (2008). Asset Prices Under Habit Formation and Reference-dependent Preferences. Journal of Business and Economic Statistics, 26(2), 131–143.CrossRefGoogle Scholar
  282. Zervoudi, E. (2018). Value Functions for Prospect Theory Investors: An Empirical Evaluation for U.S. Style Portfolios. Journal of Behavioral Finance, 19(3), 319–333.CrossRefGoogle Scholar
  283. Zou, B., & Zagst, R. (2017). Optimal Investment with Transaction Costs Under Cumulative Prospect Theory in Discrete Time. Mathematics and Financial Economics, 11(4), 393–421.Google Scholar

Copyright information

© The Author(s) 2019

Authors and Affiliations

  • Michael I. C. Nwogugu
    • 1
  1. 1.EnuguNigeria

Personalised recommendations