In this paper, we claim the asymmetric response of asset returns on the past asset returns' signs may be explained from the market behavioral portfolio choice of investors. For this, we admit the anchor and adjustment mechanism of investors which partly explains the momentum in the asset prices. We also claim the prospect theory based on the risk aversions may simultaneously work with the anchor and adjustment effect, whenever the lagged asset return was positive and investors accrued the gain. To identify these effects empirically in a threshold autoregressive model, we suppose the risk aversions inducing the volatility effect is related with the past volatility of asset returns. In application of suggested method to Korean stock and real estate markets, we found these effect exist as expected.