  An individual can only experience regret if she learns about an unchosen
alternative. In many situations, learning about an unchosen alternative is
possible only if someone else chose it. We develop a model where the ex-post
information available to each regret averse individual depends both on their
own choice and on the choices of others, as others can reveal ex-post
information about what might have been. This implies that what appears to be a
series of isolated single-person decision problems is in fact a rich
multi-player behavioural game, the regret game, where the psychological payoffs
that depend on ex-post information are interconnected. For an open set of
parameters, the regret game is a coordination game with multiple equilibria,
despite the fact that all individuals possess a uniquely optimal choice in
isolation. We experimentally test this prediction and find support for it.
