Stotz, Olaf Lütje, Torben Menkhoff, Lukas von Nitzsch, Rüdiger
Year of Publication:
Diskussionsbeitrag No. 309
This paper finds that fund managers do not expect mean reverting returns, as suggested by theory and empirical evidence, but mean averting returns. The degree of mean aversion is positively related to preferences for non-fundamental information and loss aversion.
Mean aversion return expectations non-fundamental information loss aversion