Research

Professor Eser Arisoy, Neoma Business School

"Regret, Rejoicing, and Short-Term Reversal"

Wednesday 20 May 2026. 15:00-16:30 Room 587 The Adam Smith Business School Building

Abstract

Motivated by regret/rejoicing theory, we construct novel regret and rejoicing indices based on nonlinear features of price paths, combining distance from a stock’s own recent highs and lows with industry-relative extremes. Notably, these indices allow capturing the time-series and cross-sectional dimensions of regret and rejoice and strongly predict the cross-section of U.S. stock returns. Importantly, regret and rejoice indices subsume the short-term reversal effect - once included, standard reversal measure loses explanatory power. We further document that regret and rejoice effects are generally stronger among stocks that are harder to arbitrage and that attract greater investor attention. Our findings provide a unified behavioral explanation for short-term return predictability and a microfoundation for nonlinear trading signals used in practice.

 

Bio

Y. Eser Arisoy is a Professor of Finance at NEOMA Business School. His work primarily focuses on three major research axes: i) empirical asset pricing, ii) performance and risk-taking behavior of hedge funds, and iii) whether and how behavioral biases impact investments and asset returns. He has published in journals such as Journal of Financial Economics, Management Science, Journal of Banking and Finance, among others. He is a member of the Research Ethics Committee and co-ordinator of Finance Seminar Series at NEOMA Business School.
 

 

For further information, please contact business-school-research@glasgow.ac.uk

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First published: 20 April 2026

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