Reference-Dependent Preferences and Sentiment-Driven Asset Prices

• 成果类型: Article; Early Access
• 署名作者: Benhabib, Jess; Li, Zhaorui; Liu, Xuewen; Wang, Pengfei
• 署名单位: New York University; Shanghai Jiao Tong University; University of Hong Kong; Peking University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70079
• 发表日期: 2026-08-22
• 关键词: PROSPECT-THEORY; Investor sentiment; stock returns; RISK; disappointment; volatility; expectations; anomalies; DECISION; MARKETS

摘要

This paper studies asset pricing under expectations-based reference-dependent preferences in a general equilibrium framework. We show that reference-dependent preferences can generate self-fulfilling risk panics, producing sentiment-driven asset price fluctuations through a feedback loop between current prices and perceived future downside risk-dynamics impossible under standard expected utility. The model helps explain empirical puzzles including (i) excess volatility, (ii) asymmetric volatility, (iii) asymmetric sentiment over the business cycle, (iv) excess asset price comovement, and (v) weak correlations between stock returns and economic fundamentals, alongside a sizable equity premium. Additional empirical evidence based on closed-end fund discounts and quantitative analysis support the theory.