Regret Theory and Equilibrium Asset Prices

Table 1

Regression results.

	𝜆0	𝜆1	𝜆2	𝑅^2
Panel 1	0.021	−0.521	1.268	0.536
𝑡 statistics	1.936	−2.219	5.273
𝑃-value	0.058	0.030	0.000
Panel 2	−0.002	−0.259	1.261	0.780
𝑡 statistics	−0.213	−1.528	7.263
𝑃-value	0.832	0.132	0.000
Panel 3	0.006	−0.254	1.294	0.804
𝑡 statistics	0.766	−1.553	7.731
𝑃-value	0.447	0.126	0.000
Panel 4	0.002	−0.188	1.246	0.780
𝑡 statistics	0.285	−1.054	6.835
𝑃-value	0.777	0.296	0.000
Panel 5	0.017	0.110	0.998	0.717
𝑡 statistics	1.700	0.510	4.517
𝑃-value	0.0942	0.669	0.000
Panel 6	0.002	−0.094	1.237	0.713
𝑡 statistics	0.191	−0.410	5.292
𝑃-value	0.849	0.683	0.000
Panel 7	−0.000	−0.097	1.243	0.785
𝑡 statistics	−0.090	−0.514	6.440
𝑃-value	0.929	0.609	0.000
Panel 8	0.005	−0.125	1.267	0.767
𝑡 statistics	0.535	−0.634	6.258
𝑃-value	0.595	0.528	0.000
Panel 9	−0.000	−0.108	1.334	0.816
𝑡 statistics	−0.054	−0.592	7.125
𝑃-value	0.957	0.560	0.000
Panel 10	−0.000	−0.023	1.267	0.776
𝑡 statistics	−0.089	−0.112	5.929
𝑃-value	0.930	0.911	0.000