Effects of the fat-tail distribution on the relationship between prospect theory value and expected return
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DOI: 10.1016/j.najef.2019.101052
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Cited by:
- EOM, Cheoljun & EOM, Yunsung & PARK, Jong Won, 2024. "Intermediate cross-sectional prospect theory value in stock markets: A novel method," International Review of Financial Analysis, Elsevier, vol. 93(C).
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- Eom, Cheoljun & Eom, Yunsung & Park, Jong Won, 2023. "Left-tail momentum and tail properties of return distributions: A case of Korea," International Review of Financial Analysis, Elsevier, vol. 87(C).
- Chen, Chun & He, Fangyi & Lin, Lei, 2024. "Anchoring effect, prospect value and stock return," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1539-1556.
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More about this item
Keywords
Prospect theory value; Decision weight; Skewed distribution; Fat-tail distribution; Out-of-sample test;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G40 - Financial Economics - - Behavioral Finance - - - General
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