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Estimating cumulative prospect theory parameters from an international survey

Author

Listed:
  • Marc Oliver Rieger

    (University of Trier, Chair of Banking and Finance)

  • Mei Wang

    (WHU, Otto Beisheim School of Management, Chair of Behavioral Finance)

  • Thorsten Hens

    (Swiss Finance Institute Professor at the Department of Banking and Finance of the University of Zurich
    NHH)

Abstract

We conduct a standardized survey on risk preferences in 53 countries worldwide and estimate cumulative prospect theory parameters from the data. The parameter estimates show that significant differences on the cross-country level are to some extent robust and related to economic and cultural differences. In particular, a closer look on probability weighting underlines gender differences, economic effects, and cultural impact on probability weighting. The data set is a useful starting point for future research that investigates the impact of risk preferences on the market level.

Suggested Citation

  • Marc Oliver Rieger & Mei Wang & Thorsten Hens, 2017. "Estimating cumulative prospect theory parameters from an international survey," Theory and Decision, Springer, vol. 82(4), pages 567-596, April.
    • Handle: RePEc:kap:theord:v:82:y:2017:i:4:d:10.1007_s11238-016-9582-8
    DOI: 10.1007/s11238-016-9582-8
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    References listed on IDEAS

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