MENTAL FRAMING IN RISK-AVERSION DYNAMICS AN EMPIRICAL INVESTIGATION OF INTERTEMPORAL CHOICE

被引：0

作者：

Ormos, Mihaly ^{[1
]}

Timotity, Dusan ^{[1
]}

机构：

[1] Budapest Univ Technol & Econ, Dept Finance, Magyar Tudosok Krt 2, H-1117 Budapest, Hungary

来源：

PROCEEDINGS - 30TH EUROPEAN CONFERENCE ON MODELLING AND SIMULATION ECMS 2016 | 2016年

关键词：

Asymmetric volatility; Risk seeking; Prospect theory; TGARCH; Volatility dynamics;

D O I：

暂无

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper provides an empirical investigation of the mental framing based explanation for heteroscedasticity by Ormos and Timotity. We find empirical support for their model from two different point of view: first, the analysis of a huge individual trading dataset shows that investors indeed become risk-seeking right after losses and more risk-averse subsequent to gains; second, the parameter estimation of our volatility model yields the predicted negative relationship between abnormal returns and subsequent volatility.

引用

页码：179 / 184

页数：6

共 35 条

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