| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27155 |
| 来源ID | Working Paper 27155 |
| Prospect Theory and Stock Market Anomalies | |
| Nicholas C. Barberis; Lawrence J. Jin; Baolian Wang | |
| 发表日期 | 2020-05-18 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We present a new model of asset prices in which investors evaluate risk according to prospect theory and examine its ability to explain 23 prominent stock market anomalies. The model incorporates all the elements of prospect theory, takes account of investors’ prior gains and losses, and makes quantitative predictions about an asset’s average return based on empirical estimates of its volatility, skewness, and past capital gain. We find that the model is helpful for thinking about a majority of the 23 anomalies. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w27155 |
| 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/584828 |
| 推荐引用方式 GB/T 7714 | Nicholas C. Barberis,Lawrence J. Jin,Baolian Wang. Prospect Theory and Stock Market Anomalies. 2020. |
| 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 | ||
| w27155.pdf（525KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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