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.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Notes
- 1.
See Bloomberg News (February 25, 2015). China Money Rates Fall as PBOC Unexpectedly Offers Reverse Repos. http://www.bloomberg.com/news/articles/2015-02-26/china-money-rates-fall-as-pboc-unexpectedly-offers-reverse-repos.
- 2.
See Kumar, S. (May 8, 2008). “Merrill’s Thain Backs Auction-Rate Securities”. The Wall Street Journal.
- 3.
See Armitstead, L. (28 July, 2011). “Eurozone Crisis Fears Continue as Italy Forced to Pay Higher Rates to Borrow”. The Telegraph (UK). http://www.telegraph.co.uk/finance/financialcrisis/8667986/Eurozone-crisis-fears-continue-as-Italy-forced-to-pay-higher-rates-to-borrow.html; See “A Complete Disaster: Sovereign Bond Auction Fizzles in Germany”. Spiegel Online. http://www.spiegel.de/international/germany/a-complete-disaster-sovereign-bond-auction-fizzles-in-germany-a-799550.html; See Charlton, E. (1 December, 2011). “French Bond Yields Decline Most in 20 Years, Spanish Debt Rises on Auction”. Bloomberg. http://www.bloomberg.com/news/2011-12-01/german-10-year-bonds-fall-as-crisis-optimism-curbs-safety-demand.html; See “Eurozone Debt Web: Who Owes What to Whom?” BBC News. 18 November 2011. http://www.bbc.co.uk/news/business-15748696.
- 4.
See Zions Bancorp’s presentation. Available at http://media.treasuryandrisk.com/treasuryandrisk/historical/events/visionppt/Wednesday/esoars.pdf.
- 5.
See Wantchinatimes.com. (2015). Liaoning Sees China’s First Failed Local Bond Auction in Four Years. Staff Reporter 2015-08-11 14:14 (GMT + 8). http://www.wantchinatimes.com/news/content?id=20150811000047&cid=1203.
- 6.
See US Government Printing Office. (September 18, 2008). Auction Rate Securities Market: A Review of Problems and Potential Resolutions. Hearing Before Committee on Financial Services, US House of Representatives, Washington, DC.
- 7.
See Chang, G. (June 16, 2013). “Bad Omens in China: Banks Default, Debt Auctions Fail”. Forbes. http://www.forbes.com/sites/gordonchang/2013/06/16/bad-omens-in-china-banks-default-debt-auctions-fail/.
- 8.
See Pillai, S., Li, L., and Huang, H. (Goldman Sachs Asset Management). (2015). FAQ: China’s Bond Market. http://www.goldmansachs.com/gsam/glm/insights/market-insights/china-bond-market/china-bond-market.pdf.
- 9.
See Dugan, K. (June 9, 2015). Justice Department Probes Banks for Rigging Treasury Market. http://www.marketwatch.com/story/justice-department-probes-banks-for-rigging-treasury-market-2015-06-09. See Moyer, L. (November 7, 2006). Fed to Banks: Halt Bond Fraud. http://www.forbes.com/forbes/welcome/. This article stated in part: “……The Fed wants banks to stop fraud in the U.S government bond market before regulators have to step in. Regulators and members of Wall Street’s biggest bond-trading operations are discussing ways to strengthen the integrity of the U.S. Treasury market amid a probe of possible market manipulation….…”. See Boston Retirement System vs. Bank of America NA et al. (U.S. District Court, Southern District of New York, No. 16-03711) (USA lawsuit about the manipulation of the agency bond market by banks); See Stempel, J. (May 18, 2016). Five Banks Sued in U.S. for Rigging $9 Trillion Agency Bond Market. https://www.reuters.com/article/us-banks-rigging-lawsuit-idUSKCN0Y932L. See Rennison, J. (September 28, 2015). Investor Lawsuits Pile Up Claiming US Treasury Market is Rigged. http://www.ft.com/cms/s/0/43f0b014-6218-11e5-9846-de406ccb37f2.html. This article stated in part: “…… Investors have filed a flurry of court cases claiming banks and brokers have been rigging the Treasury bond market and increasing the cost of selling debt for the US government. Twenty-three related cases have been filed, alleging the primary dealers that underwrite the US government’s debt colluded to manipulate the price of US Treasuries to their benefit. US Treasury securities are sold through an auction process in which banks and brokers listed as “primary dealers” place bids for the number of bonds they wish to buy and at what price. Investors can use primary dealers to buy at the auction or purchase them directly.………”.
- 10.
See Matthew, J. (September 5, 2014). Credit Default Swaps: US Judge Invites Investors to Sue Twelve Major Banks for CDS Rigging. https://www.ibtimes.co.uk/investors-could-pursue-lawsuit-against-major-banks-over-credit-default-swap-rigging-1464095. The article states in part “……A US judge said that twelve major banks have violated antitrust laws by working together to limit competition in the credit default swaps (CDS) market, and investors may pursue a lawsuit against them. US District Judge Denise Cote in Manhattan said investors may go ahead with claims that the defendants violated the Sherman Act, causing them to pay unfair prices on CDS trades, used to hedge against credit default risk. The banks involved in the case are Bank of America Corp, Barclays Plc, BNP Paribas SA, Citigroup Inc., Credit Suisse Group AG, Deutsche Bank AG, Goldman Sachs Group Inc., HSBC Holdings Plc, JPMorgan Chase & Co., Morgan Stanley, Royal Bank of Scotland Group Plc and UBS AG............. Cote dismissed claims that the pricing of the swaps were the result of coincidence: “The complaint provides a chronology of behaviour that would probably not result from chance, coincidence, independent responses to common stimuli, or mere interdependence,” she said. The International Swaps and Derivatives Association and Markit Ltd., which provide credit derivative pricing services, are also named defendants in the lawsuit.……….”. See Burne, K. (October 1, 2015). “Banks Finalize $1.86 Billion Credit-Swaps Settlement—Suit Claimed Banks Conspired to Prevent Competition”. Wall Street Journal. https://www.wsj.com/articles/wall-street-banks-in-credit-swaps-settlement-1443708335; See In re: Credit Default Swaps Antitrust Litigation (U.S. District Court for the Southern District of New York, No. 13-md-02476) (USA lawsuit about manipulation of the credit default swaps market by banks). See Zamansky, J. (July 22, 2018). Recent Blackstone Deal Confirms That the Market Is Rigged. https://seekingalpha.com/article/4188956-recent-blackstone-deal-confirms-market-rigged.
- 11.
See Stempel, J. (May 18, 2016). Five Banks Sued in U.S. for Rigging $9 Trillion Agency Bond Market. https://www.reuters.com/article/us-banks-rigging-lawsuit-idUSKCN0Y932L. This article states in part “……Five major banks and four traders were sued on Wednesday in a private U.S. lawsuit claiming they conspired to rig prices worldwide in a more than $9 trillion market for bonds issued by government-linked organizations and agencies. Bank of America Corp (BAC.N), Credit Agricole SA (CAGR.PA), Credit Suisse Group AG (CSGN.S), Deutsche Bank AG (DBKGn.DE) and Nomura Holdings Inc. (8604.T) were accused of secretly agreeing to widen the “bid-ask” spreads they quoted customers of supranational, sub-sovereign and agency (SSA) bonds........... The proposed class-action lawsuit seeks triple damages, and follows probes by U.S. and European Union antitrust regulators into possible SSA bond price rigging. Those probes are also examining the London-based defendant traders Hiren Gudka of Bank of America, Bhardeep Singh Heer of Nomura, Amandeep Singh Manku of Credit Agricole and Shailen Pau of Credit Suisse, Thomson Reuters’ IFR service reported in January……….”. See Boston Retirement System vs. Bank of America NA et al. (U.S. District Court, Southern District of New York, No. 16-03711) (USA lawsuit about manipulation of the agency bond market by banks). See Schoenberg, T., Abelson, M., & Nasiripour, S. (March 27, 2019). “Fannie Bond-Rigging Suit Lists 27 Traders Without Accusing Them”. https://www.bloomberg.com/news/articles/2019-03-27/27-traders-named-but-not-accused-in-fannie-bond-rigging-suit. This article stated in part: “….More than two dozen traders at banks including Deutsche Bank AG, UBS Group AG and FTN Financial Securities Corp., were identified in a civil lawsuit that alleges their employers colluded to rig the prices of bonds issued by Fannie Mae and Freddie Mac. An amended complaint listing the names was filed Monday in a proposed class action against about a dozen financial institutions. The 27 traders, referred to as “key personnel” on those bond desks, aren’t named as defendants in the suit, brought by the Alaska Electrical Pension Fund in Manhattan federal court……..” See Kowsmann, P., & Patrick, M. (December 20, 2018). “Major Banks Suspected of Collusion in Bond-Rigging Probe—Deutsche Bank, Credit Suisse, Crédit Agricole and another global bank could face fines of up to 10% of their annual world-wide revenue if found guilty”. Wall Street Journal. https://www.wsj.com/articles/major-banks-suspected-of-collusion-in-bond-rigging-probe-11545316280. This article stated in part: “……The European Commission suspects Deutsche Bank AG, Credit Suisse Group AG, Crédit Agricole SA and another global bank of colluding to manipulate a multi-trillion-dollar government-backed bond market, escalating a long running probe. The European Union’s executive arm, which opened the investigation almost three years ago, said in a statement Thursday that banks will now lay out their defenses. If found guilty, they could face a fine of up to 10% of their annual world-wide revenue……” See Schlam Stone, & Dolan (March 26, 2019). “Lawsuits Filed Over Eurozone Bond Bid-Ask Rigging”. March 26, 2019. https://www.schlamstone.com/lawsuits-filed-over-eurozone-bond-bid-ask-rigging/. This article stated in part: “…..On March 22, 2019, the Ohio Carpenters’ Pension Fund filed a proposed antitrust class action in the Southern District of New York. The complaint alleges that Bank of America and NatWest (f/k/a RBS) conspired to rig the bid-ask spreads of Eurozone government bonds between 2007 and 2012. The complaint specifically alleges that the defendants were (nominally) competing “primary dealers” for the sale of the bonds to investors, but that they colluded to increase their bid-ask spread collectively in order to avoid competitive disadvantage and potential loss of the issuers’ business. On January 31, 2019, the European Commission issued a press release stating that it had formed the “preliminary view” that “eight banks participated in a collusive scheme that aimed at distorting competition when acquiring and trading European government bonds,” and that the collusion activity largely took place on internet chat rooms. This story was widely reported by financial press outlets such as Bloomberg. Although the Commission did not name the banks involved, NatWest/RBS has been identified as a likely subject of the investigation. A related lawsuit has been filed in the District of Connecticut……..”. See Schlam Stone, & Dolan (March 1, 2019). “Antitrust Suit Alleges That Major Banks Colluded To Manipulate Prices Of Fannie & Freddie Bonds Between 2009 And 2014”. https://www.schlamstone.com/antitrust-suit-alleges-that-major-banks-colluded-to-manipulate-prices-of-fannie-freddie-bonds-between-2009-and-2014/. This article stated in part: “……On February 22, 2019, the City of Birmingham’s pension fund and various other benefit funds filed a proposed antitrust class action in the Southern District of New York. The complaint alleges that a number of major banks–Bank of America, Barclays, BNP Paribas, Credit Suisse, Merrill Lynch, Citigroup, Goldman Sachs, and Deutsche Bank, among others–conspired to manipulate the secondary market for unsecured bonds issued by Fannie Mae and Freddie Mac between 2009 and 2014. The defendants are the largest dealers in the $550 billion over-the-counter secondary markets, and the complaint alleges that they colluded among themselves to inflate the prices of bonds they sold and to deflate the prices of bonds they repurchased from investors, including the institutional investors who are the lead plaintiffs. Interestingly, the complaint relies on the fact that the bid-ask prices changed dramatically in April 2014 after the banks came under additional scrutiny due to the LIBOR manipulation scandal. The complaint also alleges that this conduct is the subject of an ongoing Department of Justice investigation.…....”. See Schlam Stone, & Dolan (July 30, 2018). “Mexican Government Bond Market Manipulation”. https://www.schlamstone.com/mexican-government-bond-market-manipulation-manipulation/. This article stated in part: “……..In our May 17, 2018, post, we alerted you to several lawsuits filed in the Southern District of New York alleging manipulation of the market for Mexican government bonds, and noted that one case had already moved to consolidate with other actions. Since then, on June 18, 2018, the Court granted motions by plaintiffs in all six of the following cases to consolidate and be granted leave to file a consolidated amended complaint: Oklahoma Firefighters Pension and Retirement System et al. vs. Banco Santander S.A. et al., 18-cv-02830 (S.D.N.Y.); Manhattan and Bronx Surface Transit Operating Authority et al. vs. Banco Santander S.A. et al., 18-cv-03985 (S.D.N.Y.); Boston Retirement System vs. Banco Santander S.A. et al., 18-cv-04294 (S.D.N.Y.); Southeastern Pennsylvania Transportation Authority vs. Banco Santander S.A. et al., 18-cv-0440 (S.D.N.Y.); United Food and Commercial Workers Union and Participating Food Industry Employers Tri-State Pension Fund vs. Banco Bilbao Vizcaya Argentaria S.A. et al., 18-cv-04402 (S.D.N.Y.), and Government Employees’ Retirement System of the Virgin Islands vs. Banco Santander S.A. et al., 18-cv-4673 (S.D.N.Y.). The Plaintiffs in those consolidated actions, now known as In re Mexican Government Bonds Antitrust Litigation, 18-cv-02830 (In re MGB), filed their Consolidated Amended Class Action Complaint (the “Complaint”), available here, on July 18, 2018….” See In re: Treasury Securities Auction Antitrust Litigation, No. 1:15-md-02673 (S.D.N.Y.) (lawsuit in USA federal district court about market manipulation). See In re: SSA Bonds Antitrust Litigation, No. 1:16-cv-03711 (S.D.N.Y.) (lawsuit in USA federal district court about market manipulation).
- 12.
See Curtis, Q., & Morley, J. (2015). “The Flawed Mechanics of Mutual Fund Fee Litigation”. Yale University, USA. Faculty Scholarship Series. 4919. https://digitalcommons.law.yale.edu/fss_papers/4919. See Class action filed on behalf of mutual fund investors regarding trailing commissions paid to discount brokers. By Siskinds LLP (CNW Group/Siskinds LLP). Apr 09, 2018. https://www.newswire.ca/news-releases/class-action-filed-on-behalf-of-mutual-fund-investors-regarding-trailing-commissions-paid-to-discount-brokers-679152323.html. See “Emmer aims to end extreme use of mutual fund lawsuits”. By Ripon Advance News Service. January 16, 2018. https://riponadvance.com/stories/emmer-aims-end-extreme-use-mutual-fund-lawsuits/. This article stated in part: “……U.S. Rep. Tom Emmer (R-MN) on January 8 introduced the Preventing Excessive Mutual Fund Litigation Act, H.R. 4738, to deter the overuse of unwarranted lawsuits that may impact how Americans pool their resources to purchase stocks, bonds or other securities. “By cutting down the number of frivolous lawsuits targeted at mutual funds, we can allow Americans to continue to make the investments they need for their future,” Emmer, who serves on the House Financial Services Committee, said in a January 10 statement. A recent Investment Company Institute study reports that some 55 million U.S. households own mutual funds. “Whether it’s the recent college graduate starting to save in a 401(k) plan at her first job, the young family who wants to save to pay for their children’s education, or the elderly couple who wants to better manage their assets in retirement,” Emmer said, “Mutual funds are essential tools to help invest in the American dream.” But mutual funds are heavily regulated, and many times get tangled up in lawsuits focused on Section 36(b) of the Investment Company Act, said Emmer’s office. This section was adopted in 1970 to allow mutual fund investors and the Securities and Exchange Commission to seek restitution for alleged excessive fees charged by an adviser………” See Manganaro, J. (April 8, 2019). Fidelity Faces Another ‘Pay-to-Play’ Lawsuit: Fidelity faces a third lawsuit alleging the company collects “secret kickback payments” from mutual fund providers on its recordkeeping platform—claims the company strongly denies. https://www.plansponsor.com/fidelity-faces-another-pay-play-lawsuit/.
- 13.
See Armitstead, L. (28 July 2011). “Eurozone Crisis Fears Continue as Italy Forced to Pay Higher Rates to Borrow.” The Telegraph (UK). http://www.telegraph.co.uk/finance/financialcrisis/8667986/Eurozone-crisis-fears-continue-as-Italy-forced-to-pay-higher-rates-to-borrow.html; See “A Complete Disaster: Sovereign Bond Auction Fizzles in Germany”. Spiegel Online. http://www.spiegel.de/international/germany/a-complete-disaster-sovereign-bond-auction-fizzles-in-germany-a-799550.html; See Charlton, E. (1 December 2011). “French Bond Yields Decline Most in 20 Years, Spanish Debt Rises on Auction”. Bloomberg. http://www.bloomberg.com/news/2011-12-01/german-10-year-bonds-fall-as-crisis-optimism-curbs-safety-demand.html. See Eurozone Debt Web: Who Owes What To Whom? BBC News. 18 November 2011. http://www.bbc.co.uk/news/business-15748696.
- 14.
See Noe and Nachman (1994), Nikolaev (2017), Triantis (2013), DeMarzo and Duffie (1999), DeMarzo et al. (2005), Anantharaman (2014), Herbert (2018), Martellini et al. (2018), DeMarzo and Fishman (2007), Roberts (2015), Colla et al. (2013), Fichera (2011), D’Silva et al. (2008), Han and Li (2010), Alderson and Fraser (1993), Nwogugu (2015e), and Darrough and Deng (2018).
- 15.
Fichera (2011) stated in part: “……….Nor are the auctions open and competitive processes, where any and all willing investors have equal access to relevant information. This is key to independent investor liquidity. …….Three things can be done to promote liquidity in the ARS market and create the basis for using an auction mechanism in the future:
1. The Securities & Exchange Commission (SEC), the Financial Industry Regulatory Authority (FINRA) and other regulators should establish a single set of rules, practices and disclosures for how auctions are conducted. The MSRB rules should be extended to all ARS product as a first step….….
2. ARS issuers should open their auctions to all potential investors interested in competing, not just those bidding through one or a few select broker-dealers. …..
3. An auction securities exchange platform should be established to facilitate a return to liquidity in the market, with clear ground rules established for the current and next generation of auction securities………..”.
- 16.
Schmidt et al. (2008) stated in part “…….PT3 has three key features: reference dependence, decision weights and uncertain reference points (i.e. reference points that can be lotteries). The first two features are the common characteristics of different versions of prospect theory, including the original (or first-generation) version (Kahneman and Tversky 1979) and the later cumulative (or second-generation) versions featuring rank-dependent decision weights (e.g. Starmer and Sugden 1989, Luce and Fishburn 1991, Tversky and Kahneman 1992, Wakker and Tversky 1993). Variants of cumulative prospect theory are increasingly widely applied in both theoretical and empirical work (recent examples are Davies and Satchell 2004, Trepel et al. 2005, Baucells and Heukamp 2006, Schmidt and Zank 2008) and some have argued that such theories may be serious contenders for replacing expected utility theory at least for specific purposes (see Camerer 1989). No doubt this is partly because there is considerable empirical support for both reference-dependence and decision weights (see Starmer 2000). First- and second-generation prospect theory have a common limitation: the reference points from which prospects are evaluated are assumed to be certainties. If reference points are interpreted as endowments or status quo positions, these theories cannot be applied to problems in which a decision maker is endowed with a lottery and has the opportunity to sell or exchange it ………”. This last sentence reaffirms some of the critique in Nwogugu (2005a, b).
- 17.
See Rennison (September 28, 2015) (supra). See Dugan (June 9, 2015) (supra). See Moyer (Nov. 7, 2006) (supra). See Stempel (May 18, 2016) (supra). See Schoenberg, Abelson and Nasiripour (March 27, 2019) (supra). See Kowsmann, P. and Patrick, M. (December 20, 2018) (supra). See Schlam, Stone and Dolan (March 26, 2019) (supra). See Schlam, Stone and Dolan (March 1, 2019) (supra). See Schlam, Stone and Dolan (July 30, 2018) (supra). See Boston Retirement System vs. Bank of America NA et al. (U.S. District Court, Southern District of New York, No. 16-03711) (USA lawsuit about manipulation of the agency bond market by banks).
- 18.
- 19.
- 20.
See “The Vast Majority Of All Futures Trading Is Now Automated”. By Brian Merchant. Apr 26, 2019. https://www.gizmodo.com.au/2019/04/the-vast-majority-of-all-futures-trading-is-now-automated/. See “80% Of The Stock Market Is Now On Autopilot”. By Yun Li. June 29, 2019. https://www.cnbc.com/2019/06/28/80percent-of-the-stock-market-is-now-on-autopilot.html. See “Robots Are Killing Off Wall Street’s Traders”. By Laura French. October 29, 2014. https://www.worldfinance.com/markets/technology/robots-are-killing-off-wall-streets-traders. See “Cracking The Street’s New Math, Algorithmic Trades Are Sweeping The Stock Market”. http://www.businessweek.com/magazine/content/05_16/b3929113_mz020.htm. See The Future of Algorithmic Trading. https://www.experfy.com/blog/the-future-of-algorithmic-trading. See The Growth And Future Of Algorithmic Trading. July 19, 2018. https://blog.quantinsti.com/growth-future-algorithmic-trading/. See “Algorithmic Trading A ‘Prerequisite’ For Surviving Tomorrow’s Markets - With Technology, Data Sciences And Automated Trading Beginning To Play A Big Role, This Skill Is Fast Becoming A Prerequisite”. By Nitesh Khandelwal. Updated on February 17, 2019. https://www.business-standard.com/article/pf/algorithmic-trading-a-prerequisite-for-surviving-tomorrow-s-markets-119021601197_1.html. See The Quickening Evolution Of Trading—In Charts: Automated Algorithms Are On The Rise, With High-Frequency Trading Volumes Picking Up. By Robin Wigglesworth, April 11, 2017. https://www.ft.com/content/77827a4c-1dfc-11e7-a454-ab04428977f9. See “How Important Is Algorithmic Trading In The Retail Market?: The Computerization Of The Financial Markets Industry Began As Far Back As The Early 1970s And Program Trading Became Widely……”. https://financefeeds.com/important-algorithmic-trading-retail-market/. See “Agent-Human Interactions in the Continuous Double Auction”. IBM T. J. Watson Research Center, August 2001. http://spider.sci.brooklyn.cuny.edu/~parsons/courses/840-spring-2005/notes/das.pdf. Gjerstad, S. and Dickhaut, J. (January 1998). Price Formation in Double Auctions. Games and Economic Behavior, 22(1), 1–29. http://www.sciencedirect.com/science/article/pii/S0899825697905765. See Technical Committee Of The International Organization Of Securities Commissions (July 2011). “Regulatory Issues Raised by the Impact of Technological Changes on Market Integrity and Efficiency”. IOSCO Technical Committee. http://www.iosco.org/library/pubdocs/pdf/IOSCOPD354.pdf. See Shen, J. and Yu, J. (2014). Styled Algorithmic Trading and the MV-MVP Style. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2507002. See Shen, J. (2017). Hybrid IS-VWAP Dynamic Algorithmic Trading via LQR. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2984297. See “How To Build Robust Algorithmic Trading Strategies”. AlgorithmicTrading.net. https://algorithmictrading.net/project/robust-algorithmic-trading-strategies/.
- 21.
See “How Automation Keeps the Mutual Fund Industry Moving - Streamlined Electronic Processing Got The Mutual Fund Out Of The 1980s. The Next Task For Such Mutual Fund Technology: The Fiduciary Rule”. By Josephine Torelli, July 10, 2016. https://www.institutionalinvestor.com/article/b14z9nlln234cq/how-automation-keeps-the-mutual-fund-industry-moving. See SWIFT (2014). “SWIFT for Funds: Addressing Compliance And Automation—Insights From Survey Into Operational Challenges Facing Investment Managers And Fund Participants”. https://www.swift.com/node/21751. See “Strate CSD And Euroclear Partner To Automate South African Mutual Funds Processing”. September 11, 2013. https://www.bobsguide.com/guide/news/2013/Sep/11/strate-csd-and-euroclear-partner-to-automate-south-african-mutual-funds-processing/. See “Robotic Process Automation in Investment and Asset Management Operations—Real Life RPA Use Case Example”. Article by Chris Wilds. https://thelabconsulting.com/robotic-process-automation-investment-asset-management-operations-real-life-rpa-use-case-example/.
References
Abdellaoui, M., Bleichrodt, H., & Kammoun, H. (2011). Do Financial Professionals Behave According to Prospect Theory? An Experimental Study. Theory and Decision, 74, 411–429.
Acharya, V., & Johnson, T. (2007). Insider Trading in Credit Derivatives. Journal of Financial Economics, 84, 110–141.
Alderson, M. J., & Fraser, D. (1993). Financial Innovations and Excesses Revisited: The Case of Auction Rate Preferred Stock. Financial Management, 22(2), 61–75.
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.
Ammann, M., Ising, A., & Kessler, S. (2012). Disposition Effect and Mutual Fund Performance. Applied Financial Economics, 22(1), 1–19.
Anantharaman, D. (2014). Inside Debt and the Design of Corporate Debt Contracts. Management Science, 60(5), 1083–1350.
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.
Ausubel, L. (2002). Implications of Auction Theory for New Issues Markets. Brookings-Wharton Papers on Financial Services 2002.
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.
Baele, L., Driessen, J. et al. (2018). Cumulative Prospect Theory, Option Returns, and the Variance Premium. The Review of Financial Studies.
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.
Banerjee, S., Dai, L., & Shrestha, K. (2011). Cross-Country IPOs: What Explains Differences in Underpricing? Journal of Corporate Finance, 17, 1289–1305.
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.
Barberis, N. (2013). Thirty Years of Prospect Theory in Economics: A Review and Assessment. The Journal of Economic Perspectives, 27(1), 173–195.
Barberis, N., & Huang, M. (2008). Stocks as Lotteries: The Implications of Probability Weighting for Security Prices. American Economic Review, 98(5), 2066–2100.
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.
Barberis, N., Huang, M., & Santos, T. (2001). Prospect Theory and Asset Prices. The Quarterly Journal of Economics, 116(1), 1–53.
Bargeron, L., Lehn, M., & Zutter, C. (2010). Sarbanes-Oxley and Corporate Risk Taking. Journal of Accounting and Economics, 49, 34–52.
Bartak, R. (2016). Artificial Intelligence-2. https://ktiml.mff.cuni.cz/~bartak/ui2/lectures/lecture05eng.pdf.
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.
Baucells, M., & Heukamp, F. (2006). Stochastic Dominance and Cumulative Prospect Theory. Management Science, 52(9), 1409–1423.
Beasley, M. S., Branson, B., & Hancock, B. (2010, February). Report on the Current State of Enterprise Risk Oversight (2nd Ed.).
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.
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).
Bergstresser, D., & Luby, M. (2018, July). The Evolving Municipal Advisor Market in the Post Dodd-Frank Era (Working Paper).
Bernard, C., & Ghossoub, M. (2010). Static Portfolio Choice Under Cumulative Prospect Theory. Mathematics and Financial Economics, 2, 77–306.
Bhargave, R., Chakravarti, A., & Guha, A. (2015). Two-stage Decisions Increase Preference for Hedonic Options. Organizational Behavior and Human Decision Processes, 130, 123–135.
Bhatia, S. (2017). Comparing Theories of Reference-Dependent Choice. Journal of Experimental Psychology: Learning, Memory, and Cognition, 43(9), 1490–1507.
Bikhchandani, S., & Huang, C. (2011). The Treasury Bill Auction and the When-Issued Market: Some Evidence. Nabu Press.
Bleichrodt, H., Kothiyal, A., et al. (2013). Compound Invariance Implies Prospect Theory for Simple Prospects. Journal of Mathematical Psychology, 57, 68–77.
Blocher, J. (2013). Peer Effects in Mutual Funds (Working paper and conference paper). https://www.aeaweb.org/conference/2014/retrieve.php?pdfid=726.
Board, O. (2009, March). Competition and Disclosure. Journal of Industrial Economics, 57(1), 197–213.
Bodnaruk, A., Massa, M., & Simonov, A. (2013). Alliances and Corporate Governance. Journal of Financial Economics, 107(3), 671–693.
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.
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.
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.
Breedon, F., & Turner, P. (2016). On the Transactions Costs of Quantitative easing (BIS Working Papers 571). Bank for International Settlements.
Bromiley, P. (2010). Research Notes and Commentaries: Looking at Prospect Theory. Strategic Management Journal, 31, 1357–1370.
Brooks, R., Mathew, P., & Yang, J. (2014). When-Issued Trading in the Indian IPO Market. Journal of Financial Markets, 19, 170–196.
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.
Brunnermeir, M., & Pedersen, L. (2009). Market Liquidity and Funding Liquidity. The Review of Financial Studies, 22(6), 2201–2238.
Busaba, W., & Chang, C. (2010). Bookbuilding vs. Fixed Price Revisited: The Effect of Aftermarket Trading. Journal of Corporate Finance, 16(3), 370–381.
Calluzzo, P., & Dong, G. (2014). Fund Governance Contagion: New Evidence on the Mutual Fund Governance Paradox. Journal of Corporate Finance, 28(C), 83–101.
Camerer, C. (1989). An Experimental Test of Several Generalized Utility Theories. Journal of Risk and Uncertainty, 2(1), 61–104.
Cammack, E. (1991). Evidence on Bidding Strategies and the Information Contained in Treasury Bill Auctions. Journal of Political Economy, 9, 100–130.
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.
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.
Chance, D. (2009). Liquidity and Employee Options: An Empirical Examination of the Microsoft Experience. Journal of Corporate Finance, 15(4), 469–487.
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.
Chau, H., & Rasonyi, M. (2017). Skorohod’s Representation Theorem and Optimal Strategies for Markets with Frictions. https://www.arxiv.org/pdf/1606.07311.pdf.
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.
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.
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.
Christoffersen, J., Plenborg, T., & Robson, M. (2014). Measures of Strategic Alliance Performance, Classified and Assessed. International Business Review, 23(3), 479–489.
Cici, G. (2012). The Prevalence of the Disposition Effect in Mutual Funds’ Trades. The Journal of Financial and Quantitative Analysis, 47(4), 795–820.
Claudiu, B. (2013). Formal Representation of Corporate Governance Principles and Codes. Procedia - Social and Behavioral Sciences, 73, 744–750.
Colla, P., Ippolito, F., & Li, K. (2013). Debt Specialization. The Journal of Finance, 68(5), 2117–2141.
Compensation Valuation Inc. (2007). Zions Bancorp ESOARS: An Evaluation. http://www.compensationvaluation.com/resources/ESOARS/CVI-opinion.pdf.
Cornell, D., & Shapiro, A. (1989). The Mispricing of U.S. Treasury Bonds: A Case Study. Review of Financial Studies, 2, 297–310.
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.
Darrough, M. (1993). Disclosure Policy and Competition: Cournot vs. Bertrand. The Accounting Review, 68, 534–561.
Darrough, M., & Deng, M. (2018, in press). The Role of Accounting Information in Optimal Debt Contracts with Informed Lenders. The Accounting Review.
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.
Davis-Stober, C., & Brown, N. (2013). Evaluating Decision Maker “Type” Under Image-Additive Utility Representations. Journal of Mathematical Psychology, 57(6), 320–328.
Davis-Stober, C., Brown, N., & Cavagnaro, D. (2015). Individual Differences in the Algebraic Structure of Preferences. Journal of Mathematical Psychology, 66, 70–82.
Da Costa, N., Goulart, M., et al. (2013). The Disposition Effect and Investor Experience. Journal of Banking & Finance, 37(5), 1669–1675.
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.
De Giorgi, E., Hens, T., & Mayer, J. (2007). Computational Aspects of Prospect Theory with Asset Pricing Applications. Computational Economics, 29(3–4), 267–281.
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.
De Ridder, A., & Rusinowska, A. (2008). On Some Procedures of Forming a Multi-partner Alliance. Journal of Economics & Management Strategy, 17(2), 443–487.
Debt Management Office of Nigeria (2015). Nigerian Treasury Bills Auction Results for November 04, 2015. http://www.dmo.gov.ng/arnews.php.
Degeorge, F., Derrien, F., & Womack, K. (2010). Auctioned IPOs: The US Evidence. Journal of Financial Economics, 98(2), 177–194.
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.
DeMarzo, P., & Duffie, D. (1999). A Liquidity-Based Model of Security Design. Econometrica, 67(1), 65–100.
DeMarzo, P., & Fishman, M. (2007). Optimal Long-Term Financial Contracting. The Review of Financial Studies, 20(6), 2079–2128.
DeMarzo, P., Kremer, I., & Skrzypacz, A. (2005). Bidding with Securities: Auctions and Security Design. American Economic Review, 95(4), 936–959.
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.
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.
Domshlak, C., Hullermeier, E., Kaci, S., & Prade, H. (2011). Preferences in AI: An Overview. Artificial Intelligence, 17(7–8), 1037–1052.
Dooren, B., & Galema, R. (2018). Socially Responsible Investors and the Disposition Effect. Journal of Behavioral and Experimental Finance, 17, 42–52.
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.
D’Silva, A., Haley, G., & Marshall, D. (2008, November). Explaining the Decline in the Auction Rate Securities Market. Chicago Fed Letter (USA).
Dubois, D., Godo, L., & Prade, H. (2014). Weighted Logics for Artificial Intelligence—An Introductory Discussion. International Journal of Approximate Reasoning, 55(9), 1819–1829.
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.
Eom, C. (2018). Institutional Bidding Behaviors During IPO Bookbuilding: Evidence From Korea. Journal of Corporate Finance, 48, 413–427.
Ericson, K., & Fuster, A. (2014). The Endowment Effect. Annual Review of Economics, 6, 555–579.
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.
Ert, E., & Erev, I. (2013). On the Descriptive Value of Loss Aversion in Decisions Under Risk: Six Clarifications. Judgment & Decision Making, 8, 214–235.
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.
Ezra, T., Feldman, M., & Friedler, O. (2019). A General Framework for Endowment Effects in Combinatorial Markets. https://arxiv.org/pdf/1903.11360.pdf.
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).
Fichera, J. (2011). Auction Rate Securities Need Reform, Not Just Redemption. http://saberpartners.com/oped/Ars_Market_Analysis_And_Recommendation_5-31-11.pdf.
Finnerty, J. (2012). Pricing of Employee Stock Options: Marketability Does Matter. International Journal of Portfolio Analysis and Management, 1(2), 179–205.
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.
Fu, R., & Wedge, L. (2011). Managerial Ownership and the Disposition Effect. Journal of Banking & Finance, 35(9), 2407–2417.
Gal, D. (2006). A Psychological Law of Inertia and the Illusion of Loss Aversion. Judgment & Decision Making, 1, 23–32.
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.
Geertsema, P., & Lu, H. (2019, in press). Regulated Price and Demand in China’s IPO Market. Journal of Economics and Business.
Gjerstad, S., & Dickhaut, J. (1998). Price Formation in Double Auctions. Games and Economic Behavior, 22(1), 1–29.
Gneezy, U., Goette, L., et al. (2017). The Limits of Expectations-Based Reference Dependence. Journal of the European Economic Association, 15(4), 861–876.
Grechuk, B., & Zabarankin, M. (2014). Risk Averse Decision Making Under Catastrophic Risk. European Journal of Operational Research, 239(1), 166–176.
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.
Guha-Khasnobis, B., & Mavrotas, G. (2008). Financial Development, Institutions, Growth and Poverty Reduction. New York: Palgrave Macmillan.
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.
Haeussler, C., & Higgins, M. (2014). Strategic Alliances: Trading Ownership for Capabilities. Journal of Economics & Management Strategy, 23(1), 178–203.
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.
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.
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).
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.
He, X., & Zhou, X. (2011). Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment. Management Science, 57(2), 315–331.
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.
Hens, T., & Vlcek, M. (2011). Does Prospect Theory Explain the Disposition Effect? Journal of Behavioral Finance, 12(3), 141–157.
Herbert, B. (2018). Moral Hazard and the Optimality of Debt. The Review of Economic Studies, 85(4), 2214–2252.
Hershey, J., & Schoemaker, P. (1980). Prospect Theory’s Reflection Hypothesis: A Critical Examination. Organizational Behavior & Human Performance, 25, 395–410.
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.
Huang, H., Chiang, M., et al. (2017). Fixed-Price, Auction, and Bookbuilding IPOs: Empirical Evidence in Taiwan. Finance Research Letters, 22, 11–19.
Huang, C., Kuo, L., & Hsieh, T. (2017). The Disposition Effect, Price Performance and Fundamentals of IPOs: Evidence From Taiwan. Investment Analysts Journal, 263–278.
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.
Hwang, Y., & Kirby, A. J. (2004). Competitive Effects of Disclosure in a Strategic Entry Model. Review of Accounting Studies, 5(1), 57–85.
Jagannathan, R., Jirnyi, A., & Sherman, A. (2015). Share Auctions of Initial Public Offerings: Global Evidence. Journal of Financial Intermediation, 24(3), 283–311.
Jegadeesh, N. (1993). Treasury Auction Bids and the Salomon Squeeze. Journal of Finance, 48, 1403–1419.
Jiao, P. (2017). Belief in Mean Reversion and the Disposition Effect: An Experimental Test. Journal Of Behavioral Finance, 18(1), 29–44.
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).
Jin, H., & Zhou, X. (2013). Greed, Leverage, and Potential Losses: A Prospect Theory Perspective. Mathematical Finance, 23(1), 122–142.
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.
Jordan, B. D., & Jordan, S. (1997). Special Repo Rates: An Empirical Analysis. Journal of Finance, 52, 2051–2072.
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.
Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision Under Risk. Econometrica, 47(2), 263–291.
Kedia, S., & Rajgopal, S. (2011). Do the SEC’s Enforcement Preferences Affect Corporate Misconduct? Journal of Accounting & Economics, 51(3), 259–278.
Khurshed, A., Paleari, S., et al. (2014). Transparent Bookbuilding, Certification and Initial Public Offerings. Journal of Financial Markets, 19, 154–169.
Kido, T., & Swan, M. (2015). Ambient Intelligence and Crowdsourced Genetics for Understanding Loss Aversion in Decision Making. 2015 AAAI Spring Symposium.
Kirby, A. (2004). The Product Market Opportunity Loss of Mandated Disclosure. Information Economics & Policy, 16, 553–577.
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.
Kontek, K. (2011). On Mental Transformations. Journal of Neuroscience, Psychology & Economics, 4(4), 235–253.
Kontek, K., & Lewandowski, M. (2017). Range-Dependent Utility. Management Science. Articles in Advance, https://doi.org/10.1287/mnsc.2017.2744.
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.
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.
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.
Lee, J., Yen, P., & Chan, K. (2013). Market States and Disposition Effect: Evidence From Taiwan Mutual Fund Investors. Applied Economics, 45(10), 1331–1342.
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.
Levy, M., & Levy, H. (2002b). Arrow-Pratt Risk Aversion, Risk Premium and Decision Weights. Journal of Risk & Uncertainty, 25(3), 265–290.
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.
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.
Li, S. (1995). Is There a Decision Weight π? Journal of Economic Behavior and Organization, 27(3), 453–463.
Li, L. (2014). The Optimal Portfolio Selection Model Under—Expectation. Abstract & Applied Analysis, Article ID, 426036, 2014. https://doi.org/10.1155/2014/426036.
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.
Lia, Y., & Yang, L. (2013). Prospect Theory, the Disposition Effect and Asset Prices. Journal of Financial Economics, 107, 715–739.
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.
Liao, W., Lu, C., & Wang, H. (2014). Venture Capital, Corporate Governance, and Financial Stability of IPO Firms. Emerging Markets Review, 18, 19–33.
Lichtenstein, S., & Slovic, P. (1971). Reversals of Preference Between Bids and Choices in Gambling Decisions. Journal of Experimental Psychology, 89(1), 46.
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.
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).
Liu, Z., Jorion, P., & Shi, C. (2008). Informational Effects of Regulation FD: Evidence from Rating Agencies. Journal of Financial Economics, 76(2), 309–330.
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/.
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.
Liua, S., Liu, X., & Qin, J. (2018). Three-Way Group Decisions Based on Prospect Theory. Journal of the Operational Research Society, 69(1).
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.
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.
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.
Lowry, M., & Shu, S. (2002). Litigation Risk and IPO Underpricing. Journal of Financial Economics, 65(3), 309–335.
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.
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.
Marcato, G., Milcheva, S., & Zheng, C. (2018). Market Integration, Country Institutions and IPO Underpricing. Journal of Corporate Finance, 53, 87–105.
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.
Matvos, G., & Ostrovsky, M. (2010). Heterogeneity and Peer Effects in Mutual Fund Proxy Voting. Journal of Financial Economics, 98(1), 90–112.
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.
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.
McConnell, J., & Saretto, A. (2010). Auction Failures and the Market for Auction Rate Securities. Journal of Financial Economics, 97, 451–469.
Meaning, J., & Zhu, F. (2011, December). The Impact of Recent Central Bank Asset Purchase Programmes. BIS Quarterly Review, Bank for International Settlements.
Melendy, S. (2011). Monitoring Legal Compliance: The Growth of Compliance Committees. Accounting Perspectives, 10(4), 241–263.
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.
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.
Milton, F. (1964). Comment on Collusion in the Auction Market for Treasury Bills. Journal of Political Economy, 72, 513–514.
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.
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.
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.
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.
Naor, N. (2006). Reporting on Financial Derivatives—A Law and Economics Perspective. European Journal of Law & Economics, 21(3), 285–314.
Neilson, W., & Stowe, J. (2002). A Further Examination of Cumulative Prospect Theory Parameterizations. Journal of Risk and Uncertainty, 24(1), 31–46.
Neupane, S., Marshall, A., et al. (2017). Do Investors Flip Less in Bookbuilding than in Auction IPOs? Journal of Corporate Finance, 47, 253–268.
Neupane, S., & Poshakwale, S. (2012). Transparency in IPO Mechanism: Retail Investors’ Participation, IPO Pricing and Returns. Journal of Banking & Finance, 36(7), 2064–2076.
Nicolau, J. (2012). Asymmetric Tourist Response to Price: Loss Aversion Segmentation. Journal of Travel Research, 51(5).
Nikolaev, V. (2017). Scope for Renegotiation in Private Debt Contracts. Journal of Accounting and Economics, 65(2), 270–301.
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.
Noe, T., & Nachman, D. (1994). Optimal Design of Securities Under Asymmetric Information. Review of Financial Studies, 7(1), 1–44.
Nwogugu, M. (2003). Decision-Making Under Uncertainty: A Critique of Options Pricing Models. Journal of Derivatives & Hedge funds, 9(2), 164–178.
Nwogugu, M. (2004). Legal, Economic and Behavioral Issues in Accounting for Stock Options. Managerial Auditing Journal, 19(9), 1078–1118.
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.
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.
Nwogugu, M. (2006a). Regret Minimization, Willingness-To-Accept-Losses and Framing. Applied Mathematics and Computation, 179(2), 440–450.
Nwogugu, M. (2006b). A Further Critique of Cumulative Prospect Theory and Related Approaches. Applied Mathematics and Computation, 179(2), 451–465.
Nwogugu, M. (2007). Equity-Based Incentives: Wealth Transfers, Disruption Costs and New Models. Corporate Control & Ownership, 5(1), 292–304.
Nwogugu, M. (2008). The Efficiency of Sarbanes-Oxley Act: Willingness to Comply and Agency Problems. Corporate Control & Ownership, 5(1), 449–454.
Nwogugu, M. (2010/2012). A Critique of Options-Based Indices and CDS Indices. Available in www.ssrn.com.
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.
Nwogugu, M. (2015a). Goodwill/Intangibles Rules and Earnings Management. European Journal of Law Reform, 17(1), 1–10.
Nwogugu, M. (2015b). Failure of the Dodd-Frank Act. Journal of Financial Crime, 22(4), 520–572.
Nwogugu, M. (2015c). Un-Constitutionality of the Dodd-Frank Act. European Journal of Law Reform, 17, 185–190.
Nwogugu, M. (2015d). Real Options, Enforcement of and Goodwill/Intangibles Rules and Associated Behavioral Issues. Journal of Money Laundering Control, 18(3), 330–351.
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).
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.
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.
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.
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.
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.
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.
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.
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.
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.
Nwogugu, M. (2019d). Indices, Index Funds and ETFs HCI: Exploring HCI, Nonlinear Risk and Homomorphisms. Palgrave Macmillan.
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.
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.
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).
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.
Odean, T. (1998). Are Investors Reluctant to Realize Their Losses? The Journal of Finance, 53(5), 1775–1798.
Olsen, R (1997). Prospect Theory as an Explanation of Risky Choice by Professional Investors: Some Evidence. Review of Financial Economics, 6(2), 225–233.
Ortona, G., & Scacciati, F. (1992). New Experiments on the Endowment Effect. Journal of Economic Psychology, 13, 277–296.
Pae, S. (2000). Information Sharing in the Presence of Preemptive Incentives: Economic Consequences of Mandatory Disclosure. Review of Accounting Studies, 5(4), 331–350.
Pae, S. (2002). Optimal Disclosure Policy in Oligopoly Markets. Journal of Accounting Research, 40(3), 901–932.
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.
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).
Peters, D. (2017). Condorcet’s Principle and the Preference Reversal Paradox. 16th Conference on Theoretical Aspects of Rationality and Knowledge.
Pigozzi, G., Tsoukiàs, A., & Viappiani, P. (2016). Preferences in Artificial Intelligence. Annals of Mathematics and Artificial Intelligence, 77(3–4), 361–401.
Pirvu, T. A., & Schulze, K. (2012). Multi-stock Portfolio Optimization Under Prospect Theory. Mathematics and Financial Economics, 6(4), 337–362.
Ploner, M. (2017). Hold on to it? An Experimental Analysis of the Disposition Effect. Judgment and Decision Making, 12, 118–127.
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.
Ratliff, L. & Mazumdar, E. (2017, November). Inverse Risk-Sensitive Reinforcement Learning. https://arxiv.org/pdf/1703.09842.pdf.
Rau, H. (2015). The Disposition Effect in Team Investment Decisions: Experimental Evidence. Journal of Banking & Finance, 61, 272–282.
Rieger, M., & Bui, T. (2011). Too Risk-Averse for Prospect Theory? Modern Economy, 2(4), 691–700.
Roberts, M. (2015). The Role of Dynamic Renegotiation and Asymmetric Information in Financial Contracting. Journal of Financial Economics, 116(2015), 61–68.
Robinson, D. T. (2008). Strategic Alliances and the Boundaries of the Firm. Review of Financial Studies, 21, 649–681.
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.
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.
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.
Schmidt, U. (2003). Reference Dependence in Cumulative Prospect Theory. Journal of Mathematical Psychology, 47, 122–131.
Schmidt, U., & Zank, H. (2008). Risk Aversion in Cumulative Prospect Theory. Management Science, 54(1), 208–216.
Schmidt, S., Starmer, C., & Sugden, R. (2008). Third Generation Prospect Theory. Journal of Risk and Uncertainty, 36, 203–223.
Schneider, M., & Day, R. (2016). Target-Adjusted Utility Functions and Expected-Utility Paradoxes. Management Science.
Scholten, M., & Read, D. (2014). Prospect Theory and the ‘Forgotten’ Fourfold Pattern of Risk Preferences. Journal of Risk and Uncertainty, 48(1), 67–83.
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.
Securities Litigation & Consulting Group. (2011). Auction Rate Securities. http://www.slcg.com/pdf/workingpapers/SLCG-ARS%20Paper.pdf.
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.
Shen, J. (2017). Hybrid IS-VWAP Dynamic Algorithmic Trading via LQR. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2984297.
Shen, J., & Yu, J. (2014). Styled Algorithmic Trading and the MV-MVP Style. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2507002.
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.
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.
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.
Silva, A. (2003). Bidding Strategies in Brazilian Treasury Auctions. Revista Brasileira de Financas, 1(1), 113–161.
Simon, D. (1994). Markups, Quantity Risk and Bidding Strategies at Treasury Coupon Auctions. Journal of Financial Economics, 35, 43–62.
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.
Smith, A. (2011). An Experimental Study of Exclusive Contracts. International Journal of Industrial Organization, 29(1), 4–13.
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.
Solnik, B., & Zuo, L. (2012). A Global Equilibrium Asset Pricing Model with Home Preference. Management Science, 58(2), 273–292.
Song, Z., & Zhu, H. (2018). Quantitative Easing Auctions of Treasury Bonds. Journal of Financial Economics, 128(1), 103–124.
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.
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.
Strawderman, L., & Zhang, H. (2009). Certainty Effect. In M. Kattan (Ed.), Encyclopedia of Medical Decision Making. http://dx.doi.org/10.4135/9781412971980.n33.
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.
Sundaresan, S., & Nyborg, K. (1996). Discriminatory versus Uniform Treasury Auctions: Evidence from When-issued transactions. Journal of Financial Economics, 9(42), 63–104.
SVB Financial Group. (2007, August 15). Auction Rate Securities: Know the Risks and Rewards. Available at http://www.svbassetmanagement.com/pdfs/AuctionRateSecurities0907.pdf.
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.
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.
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.
Triantis, G. (2013). Exploring the Limits of Contract Design in Debt Financing. University of Pennsylvania Law Review, 161, 2014–2044.
Tung, S. (2012). Disposition Effect Among High-Turnover Mutual Fund Managers in Taiwan. Journal of Innovation and Management, 9(1), 2–24.
Tversky, A., & Kahneman, D. (1992). Advances in Prospect Theory: Cumulative Representation of Uncertainty. Journal of Risk and Uncertainty, 5, 297–323.
Tversky, A., Slovic, P., & Kahneman, D. (1990). The Causes of Preference Reversal. The American Economic Review, 80(1), 204–217.
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.
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.
Wakker, P. (2010). Prospect Theory: For Risk and Ambiguity. Cambridge, UK: Cambridge University Press.
Wakker, P., & Tversky, A. (1993). An Axiomatization of Cumulative Prospect Theory. Journal of Risk and Uncertainty, 7(2), 147–175.
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.
Wang, Z., Su, B., et al. (2018). Prospect Theory and IPO Returns in China. Journal of Corporate Finance, 48, 726–751.
Wen, Y. (2010). Capital Investment Decision, Corporate Governance and Prospect Theory. Procedia Social & Behavioral Sciences, 5, 116–126.
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.
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.
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).
Yan, J., & Bao, H. (2018). A Prospect Theory-based Analysis of Housing Satisfaction with Relocations: Field Evidence from China. Cities, 83, 193–202.
Yang, G., & Liu, X. (2018). A Commuter Departure-Time Model Based on Cumulative Prospect Theory. Mathematical Methods of Operations Research, 87(2), 285–307.
Yechiam, E., Telpaz, A., & Hochman, G. (2014). The Complaint Bias in Subjective Evaluations of Incentives. Decision, 1, 147–160.
Yogo, M. (2008). Asset Prices Under Habit Formation and Reference-dependent Preferences. Journal of Business and Economic Statistics, 26(2), 131–143.
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.
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.
Author information
Authors and Affiliations
Copyright information
© 2019 The Author(s)
About this chapter
Cite this chapter
Nwogugu, M.I.C. (2019). Perception-Based Decisions, Strategic Alliances and Optimal Financial Contracting: Auctions, Strategic Alliances and a Critique of Third-Generation Prospect Theory and Related Approaches. In: Complex Systems, Multi-Sided Incentives and Risk Perception in Companies. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-137-44704-3_4
Download citation
DOI: https://doi.org/10.1057/978-1-137-44704-3_4
Published:
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-137-44703-6
Online ISBN: 978-1-137-44704-3
eBook Packages: Economics and FinanceEconomics and Finance (R0)