Safety first, loss probability, and the cross section of expected stock returns

被引：1

作者：

Cao, Ji ^{[1
]}

Rieger, Marc Oliver ^{[2
]}

Zhao, Lei ^{[3
]}

机构：

[1] Yunnan Univ, Sch Econ, Eastern Outer Ring South Rd, Kunming 650500, Yunnan, Peoples R China

[2] Univ Trier, Dept 4, Universitatsring 15, D-54296 Trier, Germany

[3] ESCP Business Sch, Finance Dept, Paris Campus, 79 Ave Republ, F-75543 Paris 11, France

来源：

JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION | 2023年 / 211卷

关键词：

Loss probability; Mental accounting; Risk attitudes; Safety; -First; Stock returns; FALSE DISCOVERY RATE; PROSPECT-THEORY; MARKET EQUILIBRIUM; PORTFOLIO CHOICE; RISK; DECISIONS; INVESTORS; BEHAVIOR;

D O I：

10.1016/j.jebo.2023.04.022

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Recent studies show that loss probability (LP) is a decisive factor when people evaluate as-sets in laboratory experiments, suggesting a positive relationship between LP and expected stock returns. This corresponds to the classical "Safety-First" principle. We find strong em-pirical support for this prediction in the U.S. stock market. During our sample period, aver-age risk-adjusted return differences between stocks in the two extreme LP deciles exceed 0.57% per month. The positive LP effect, characterized by the intention of some investors to pay low prices for high LP stocks, remains significant after controlling for traditional downside risk measures. (c) 2023 Elsevier B.V. All rights reserved.

引用

页码：345 / 369

页数：25

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