| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w12936
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| 来源ID | Working Paper 12936
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| Stocks as Lotteries: The Implications of Probability Weighting for Security Prices |
| Nicholas Barberis; Ming Huang
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| 发表日期 | 2007-02-23
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| 出版年 | 2007
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| 语种 | 英语
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| 摘要 | We study the asset pricing implications of Tversky and Kahneman's (1992) cumulative prospect theory, with particular focus on its probability weighting component. Our main result, derived from a novel equilibrium with non-unique global optima, is that, in contrast to the prediction of a standard expected utility model, a security's own skewness can be priced: a positively skewed security can be "overpriced," and can earn a negative average excess return. Our results offer a unifying way of thinking about a number of seemingly unrelated financial phenomena, such as the low average return on IPOs, private equity, and distressed stocks; the diversification discount; the low valuation of certain equity stubs; the pricing of out-of-the-money options; and the lack of diversification in many household portfolios. |
| 主题 | Microeconomics
; Households and Firms
; Economics of Information
; Financial Economics
; Portfolio Selection and Asset Pricing
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| URL | https://www.nber.org/papers/w12936
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570602
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推荐引用方式
GB/T 7714 |
Nicholas Barberis,Ming Huang. Stocks as Lotteries: The Implications of Probability Weighting for Security Prices. 2007.
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文件名：
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w12936.pdf
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格式：
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Adobe PDF
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