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Estimating Cumulative Prospect Theory Parameters from an International Survey

In: Cultural Finance A World Map of Risk, Time and Money

Author

Listed:
  • Marc Oliver Rieger
  • Mei Wang
  • Thorsten Hens

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, 2020. "Estimating Cumulative Prospect Theory Parameters from an International Survey," World Scientific Book Chapters, in: Cultural Finance A World Map of Risk, Time and Money, chapter 8, pages 161-200, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811221958_0008
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    More about this item

    Keywords

    Finance; Culture; International; Time Preferences; Risk Preferences; Decision Theory;
    All these keywords.

    JEL classification:

    • Z1 - Other Special Topics - - Cultural Economics
    • G4 - Financial Economics - - Behavioral Finance
    • D9 - Microeconomics - - Micro-Based Behavioral Economics
    • E7 - Macroeconomics and Monetary Economics - - Macro-Based Behavioral Economics

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