Prospect theory and asset prices. Barberis N,Huang M,Santos T. Quarterly Journal . 2001and Tano Santos, 2001, Prospect theory and asset prices, The Quarterly Journal of Economics CXVI.Barberis N , Huang M , Santos T. Prospect theory and asset prices[J ] . Quarterly Journal of Economics ,...
Prospect Theory and Asset Prices :We study asset prices in an economy where investors derive direct utility not only from consumption but also from fluctuations in the value of their finan... N Barberis,M Huang,T Santos - 《Quarterly Journal of Economics》 被引量: 3212发表: 2001年 The dispo...
We build a general equilibrium model to examine the implications of prospect theory for the disposition effect, asset prices, and trading volume. Diminishing sensitivity predicts a disposition effect, price momentum, a reduced return volatility, and a positive return-volume correlation. Loss aversion ge...
Furthermore, recent studies provide support for reference-dependence as in prospect theory, i.e., risk-seeking behavior when facing prior losses, and risk aversion when facing prior gains. Wang et al. (2017) find that among firms with prior capital gains, there is a weak positive relation be...
Barberis N, Huang M, Santos T (2001) Prospect theory and asset prices. Q J Econ 116(1):1–53.https://doi.org/10.1162/003355301556310 ArticleGoogle Scholar Batrancea L (2021) An econometric approach on performance, assets, and liabilities in a sample of banks from Europe, Israel, United...
This twofold departurefrom rationality determines permanent effects on stock prices,even in long run. First, the model shows that agent who evaluatesthe asset according to Prospect Theory consistently underestimatesthe asset, due to loss aversion bias. This is shown under two differentassumption ...
Prospect theory and asset prices Quarterly Journal of Economics (2001) S. Benartzi et al. Myopic loss aversion and the equity premium puzzle Quarterly Journal of Economics (1995) De Giorgi, E.G., Hens, T., Levy, H., 2003. Existence of CAPM equilibria with prospect theory preferences. Worki...
theoryandmentalaccounting,createsaspreadbetweenastock'sfundamental valueanditsequilibriumprice,aswellaspriceunderreactiontoinformation. Spreadconvergence,arisingfromtherandomevolutionoffundamentalvalues andupdatingofreferenceprices,generatespredictableequilibriumpricesthat willbeinterpretedaspossessingmomentum.Cross-sectionalempir...
Prospect theory and trading patterns Prospect theory, the disposition effect, and asset prices 2013, Journal of Financial Economics more Yan Li, Liyan Yang Prospect theory, the disposition effe... J Yao,D Li - 《Journal of Banking & Finance》 被引量: 37发表: 2013年 The Disposition Effect un...
The Role of Emotions on Risk Aversion: A prospect theory experiment Date: 2013-03 By: Campos-Vazquez, Raymundo M. Cuilty, Emilio URL: http://d.repec.org/n?u=RePEc:pra:mprapa:48280&r=net This study measures risk and loss aversion using Prospect Theory and the impact of emotions on tho...