| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7220 |
| 来源ID | Working Paper 7220 |
| Prospect Theory and Asset Prices | |
| Nicholas Barberis; Ming Huang; Tano Santos | |
| 发表日期 | 1999-07-01 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | We propose a new framework for pricing assets, derived in part from the traditional consumption-based approach, but which also incorporates two long-standing ideas in psychology: prospect theory, and evidence on how prior outcomes affect risky choice. Consistent with prospect theory, the investor in our model derives utility not only from consumption levels but also from changes in the value of his financial wealth. He is much more sensitive to reductions in wealth than to increases, the ``loss-aversion'' feature of prospect utility. Moreover consistent with experimental evidence, the utility he receives from gains and losses in wealth depends on his prior investment outcomes; prior gains cushion subsequent losses -- the so-called 'house-money' effect -- while prior losses intensify the pain of subsequent shortfalls. We study asset prices in the presence of agents with preferences of this type, and find that our model reproduces the high mean, volatility, and predictability of stock returns. The key to our results is that the agent's risk-aversion changes over time as a function of his investment performance. This makes prices much more volatile than underlying dividends and together with the investor's loss-aversion, leads to large equity premia. Our results obtain with reasonable values for all parameters. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w7220 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564753 |
| 推荐引用方式 GB/T 7714 | Nicholas Barberis,Ming Huang,Tano Santos. Prospect Theory and Asset Prices. 1999. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w7220.pdf（430KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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