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Prospect Theory and Asset Prices

Citations

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Cited by:

  1. Ågren, Martin, 2005. "Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH," Working Paper Series 2005:11, Uppsala University, Department of Economics.
  2. Stephen Satchell & Wei Xia, 2005. "Estimation of the Risk Attitude of the Representative UK Pension Fund Investor," Birkbeck Working Papers in Economics and Finance 0509, Birkbeck, Department of Economics, Mathematics & Statistics.
  3. Matthew C. Li, 2003. "Wealth, Volume and Stock Market Volatility: Case of Hong Kong (1993-2001)," Trinity Economics Papers 20035, Trinity College Dublin, Department of Economics.
  4. Wang, Zhuqing & Wang, Xinyu & Cheng, Qiuying & Shi, Song, 2024. "Heterogeneous impact of economic and political uncertainty on green bond volatility: Evidence from the MRS-GARCH-MIDAS-Skewed T model," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  5. Yacine AÏT‐SAHALI & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, vol. 56(4), pages 1297-1351, August.
  6. John Heaton & Deborah Lucas, 2000. "Stock Prices and Fundamentals," NBER Chapters, in: NBER Macroeconomics Annual 1999, Volume 14, pages 213-264, National Bureau of Economic Research, Inc.
  7. Levy, Haim & Levy, Moshe, 2002. "Experimental test of the prospect theory value function: A stochastic dominance approach," Organizational Behavior and Human Decision Processes, Elsevier, vol. 89(2), pages 1058-1081, November.
  8. Rubio-Ramírez, Juan Francisco & Petrella, Ivan & Antolin-Diaz, Juan, 2021. "Dividend Momentum and Stock Return Predictability: A Bayesian Approach," CEPR Discussion Papers 16613, C.E.P.R. Discussion Papers.
  9. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
  10. Fielding, David & Stracca, Livio, 2007. "Myopic loss aversion, disappointment aversion, and the equity premium puzzle," Journal of Economic Behavior & Organization, Elsevier, vol. 64(2), pages 250-268, October.
  11. Aaron Tornell, 2000. "Robust-H-infinity Forecasting and Asset Pricing Anomalies," NBER Working Papers 7753, National Bureau of Economic Research, Inc.
  12. Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2020. "Loss aversion in an agent-based asset pricing model," Quantitative Finance, Taylor & Francis Journals, vol. 20(2), pages 275-290, February.
  13. Chengli Liu & C. K. M. Lee & K. H. Leung, 2019. "Pricing Strategy in Dual-Channel Supply Chains with Loss-Averse Consumers," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 36(05), pages 1-22, October.
  14. Darrat, Ali F & Zhong, Maosen, 2000. "On Testing the Random-Walk Hypothesis: A Model-Comparison Approach," The Financial Review, Eastern Finance Association, vol. 35(3), pages 105-124, August.
  15. Shaofu Du & Yujiao Zhu & Tengfei Nie & Haisuo Yu, 2018. "Loss-averse preferences in a two-echelon supply chain with yield risk and demand uncertainty," Operational Research, Springer, vol. 18(2), pages 361-388, July.
  16. Pietro Veronesi, "undated". "Belief-dependent Utilities, Aversion to State-Uncertainty and Asset Prices,”," CRSP working papers 529, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  17. Patricia Tovar, 2004. "The Effects of Loss Aversion on Trade Policy and the Anti-Trade Bias Puzzle," Econometric Society 2004 North American Summer Meetings 499, Econometric Society.
  18. Josef C. Brada & Jan KubÃ­Ä ek & Ali M. Kutan & Vladimír Tomšík, 2015. "Inflation Targeting: Insights from Behavioral Economics," Eastern European Economics, Taylor & Francis Journals, vol. 53(5), pages 357-376, September.
  19. Masini, Andrea & Menichetti, Emanuela, 2012. "The impact of behavioural factors in the renewable energy investment decision making process: Conceptual framework and empirical findings," Energy Policy, Elsevier, vol. 40(C), pages 28-38.
  20. Ang, Andrew & Bekaert, Geert & Liu, Jun, 2005. "Why stocks may disappoint," Journal of Financial Economics, Elsevier, vol. 76(3), pages 471-508, June.
  21. Aaron Tornell, 2003. "Robust-H_infinity Forecasting and Asset Pricing Anomalies (December 2001)," UCLA Economics Online Papers 237, UCLA Department of Economics.
  22. Tan Wang, 2000. "Updating Rules for Non-Bayesian Preferences," Econometric Society World Congress 2000 Contributed Papers 0157, Econometric Society.
  23. Chao Gong & Chunhui Xu & Ji Wang, 2018. "An Efficient Adaptive Real Coded Genetic Algorithm to Solve the Portfolio Choice Problem Under Cumulative Prospect Theory," Computational Economics, Springer;Society for Computational Economics, vol. 52(1), pages 227-252, June.
  24. Tomoyuki Nakajima, 2003. "Sunspot Fluctuations in Asset Prices and Business Cycles in Japan Over 1986–1999," The Japanese Economic Review, Japanese Economic Association, vol. 54(3), pages 253-274, September.
  25. Dacorogna, Michel M. & Gençay, Ramazan & Müller, Ulrich A. & Pictet, Olivier V., 2001. "Effective return, risk aversion and drawdowns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(1), pages 229-248.
  26. Irene Cherono & Tobias Olweny & Tabitha Nasieku, 2019. "Investor Behavior Biases and Stock Market Reaction in Kenya," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(1), pages 1-6.
  27. Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005 329, Society for Computational Economics.
  28. Faia, Ester & Curatola, Giuliano, 2016. "Divergent Reference-Dependent Risk-Attitudes and Endogenous Collateral Constraints," CEPR Discussion Papers 11678, C.E.P.R. Discussion Papers.
  29. Rabin, Matthew, 2000. "Inference by Believers in the Law of Small Numbers," Department of Economics, Working Paper Series qt4sw8n41t, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  30. Rapach, David E. & Wohar, Mark E., 2009. "Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 427-453, April.
  31. Ajay Bhootra & Jungshik Hur, 2015. "High Idiosyncratic Volatility and Low Returns: A Prospect Theory Explanation," Financial Management, Financial Management Association International, vol. 44(2), pages 295-322, June.
  32. Zin, Stanley E., 2002. "Are behavioral asset-pricing models structural?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 215-228, January.
  33. Lynch, Anthony W., 2001. "Portfolio choice and equity characteristics: characterizing the hedging demands induced by return predictability," Journal of Financial Economics, Elsevier, vol. 62(1), pages 67-130, October.
  34. Stracca, Livio, 2004. "Behavioral finance and asset prices: Where do we stand?," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 373-405, June.
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