Prospect Theory and Stock Returns: An Empirical Test

• 成果类型: Article
• 署名作者: Barberis, Nicholas; Mukherjee, Abhiroop; Wang, Baolian
• 署名单位: Yale University; Hong Kong University of Science & Technology; Fordham University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw049
• 发表日期: 2016
• 页码: 3068
• 关键词: MUTUAL FUND PERFORMANCE; ASSET PRICING TESTS; cross-section; Expected returns; EVALUATION PERIODS; loss aversion; risk-taking; lotteries; skewness; prices

摘要

We test the hypothesis that, when thinking about allocating money to a stock, investors mentally represent the stock by the distribution of its past returns and then evaluate this distribution in the way described by prospect theory. In a simple model of asset prices in which some investors think in this way, a stock whose past return distribution has a high (low) prospect theory value earns a low (high) subsequent return, on average. We find empirical support for this prediction in the cross-section of stock returns in the U.S. market, and also in a majority of forty-six other national stock markets.