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Cited by 281

The DOI matches its Crossref record; 43 of the 43 references it cites were found in a registry or an index.

Portfolio Choice and Trading Volume with Loss‐Averse Investors

Open access
Gomes, Francisco J.·2005·The Journal of Business
DOI 10.1086/427643
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Abstract

This paper presents a formal model of portfolio choice and stock trading volume with loss-averse investors. The demand function for risky assets is discontinuous and non-monotonic: as wealth rises beyond a threshold investors follow a generalized portfolio insurance strategy. This behavior is consistent with the evidence in favor of the disposition effect. In addition, loss-averse investors will not hold stocks unless the equity premium is quite high. The elasticity of the aggregate demand curve changes substantially, depending on the distribution of wealth across investors. In an equilibrium setting the model typically generates positive correlation between trading volume and stock return volatility, but suggests that this relationship should be non-linear.

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Crossref · 10.1086/427643

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Metadata

Authors
Gomes, F. J.
Venue
The Journal of Business
Publisher
University of Chicago Press
Published
2005-03
Volume
78
Issue
2
Pages
675-706
ISSN
  • 0021-9398 (ISSN-L)
  • 1537-5374
DOI
10.1086/427643
OpenAlex
W3124331360
Cited by
281
References
43
FWCI
27.26
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Portfolio Choice and Trading Volume with Loss‐Averse Investors. https://app.cochat.ai/papers/10.1086/427643
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Gomes, F. J. (2005). Portfolio Choice and Trading Volume with Loss‐Averse Investors. The Journal of Business. https://doi.org/10.1086/427643

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.