Subsample analysis.

This paper introduces the market framing bias (MFB): a framing effect that affects the return-risk tradeoff under different frameworks of aggregate market losses and profits, which is measured by the absolute difference between betas in the rising and falling markets. The paper finds that the MFB can predict lower future stock return on the cross-section. Specifically, after controlling for various firm-specific characteristics, this predictive power of the FMB declines over time. Furthermore, the predictive power of the FMB is stable in the short term even after controlling for various pricing factors and firm-specific characteristics.