Prospect theory for stock markets: Empirical evidence with time-series data

被引：35
|
作者：
Zhang, Wenlang [1 ]
Semmler, Willi [2 ]
机构：
[1] Hong Kong Monetary Author, Res Dept, Hong Kong, Hong Kong, Peoples R China
[2] New Sch Univ, Dept Econ, Grad Fac, New York, NY 10003 USA
来源：
JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION | 2009年 / 72卷 / 03期
关键词：
Prospect theory; Loss aversion; State-space model; House-money effect; Break-even effect;
D O I：
10.1016/j.jebo.2009.08.003
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Based on the loss aversion model of asset pricing, this paper explores empirical evidence on the prospect theory for stock markets with time-series data. The analysis, using a state-space model, shows that previous gains and losses may have asymmetric effects on investment behavior, pointing to the possibility of break-even effects ignored by asset-pricing models using prospect theory. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码：835 / 849
页数：15
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