EconPapers    
Economics at your fingertips  
 

Regret in global equity markets

Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Aynur Dilan Tosun

International Review of Financial Analysis, 2025, vol. 103, issue C

Abstract: This paper investigates the relation between investment regret and the cross-section of equity returns in an international context. We measure the level of regret from investing in a stock as the negative of the difference between the stock's return and the maximum return that could have been achieved by a stock either in the same industry or with a similar market capitalization or book-to-market ratio. We find that the positive relation between regret and future equity returns is stronger for equal-weighted portfolios suggesting that it is more acute for small stocks. Moreover, the regret effect is stronger in emerging markets compared to developed markets. Furthermore, size-based regret is more pronounced compared to industry- or value-based regret. The regret effect is more prevalent in countries characterized by short-term orientation, capital controls and higher limits-to-arbitrage.

Keywords: Regret theory; Behavioral finance; Equity returns; International stock markets (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 G41 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521925002856
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002856

DOI: 10.1016/j.irfa.2025.104198

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-05-20
Handle: RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002856