This paper studies a online retailer's pricing and inventory decisions and consumer returns policy with consideration of consumers' anticipated regret. A game-theoretical model, in which a retailer sells a single product to consumers, is developed. The retailer faces demand uncertainty and makes pricing and inventory decisions before the demand uncertainty is realized. Moreover, consumers face valuation uncertainty and may experience buyer's regret or hesitater's regret. They decide whether to purchase in anticipation of potential regret. Besides， consumers care about the retailer's return policy: If the retailer allows returns, then consumers may return the product to the retailer at a return cost when the realized valuation is low. Several interesting results are obtained: First, in the case of no return, consumers' reservation price and the retailer's optimal price，optimal ordering quantity and expected profit decrease with the buying regret and increase with the hesitation regret. Second, although a full return policy increases consumers' reservation price and may allow the retailer's price and quantity decisions to be independent of consumers' anticipated regret, it does not necesarily increase the retailer's expected profit. Whether a retailer should adopt a full return policy is affected by consumers' anticipated regret, return cost, marginal cost and salvage value of the product. When the return cost is low and the expected regret satisfies certain conditions, it is beneficial to adopt a full return policy; Otherwise，a full return policy will decrease the retailer's profit. This study emphasizes the importance of considering the consumer's expected regret and return cost when making product return decisions.