Prospect theory and asset prices

• 成果类型: Article
• 署名作者: Barberis, N; Huang, M; Santos, T
• 署名单位: University of Chicago; National Bureau of Economic Research; Stanford University
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1162/003355301556310
• 发表日期: 2001
• 页码: 1-53
• 关键词: equity premium; risk-aversion; temporal behavior; SECURITY MARKET; mean reversion; stock-prices; consumption; returns; substitution; PSYCHOLOGY

摘要

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 financial wealth. They are loss averse over these fluctuations, and the degree of loss aversion depends on their prior investment performance. We find that our framework can help explain the high mean, excess volatility, and predictability of stock returns, as well as their low correlation with consumption growth. The design of our model is influenced by prospect theory and by experimental evidence on how prior outcomes affect risky choice.