Stocks as Lotteries? An Experimental Test of Expected Utility versus Behavioral Models

• 成果类型: Article; Early Access
• 署名作者: Corgnet, Brice; Kpegli, Yao Thibaut; Magnani, Jacopo
• 署名单位: Centre National de la Recherche Scientifique (CNRS); emlyon business school; Universite de Pau et des Pays de l'Adour; Norwegian University of Science & Technology (NTNU)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag070
• 发表日期: 2026-09-04
• 关键词: C92; G10; G40; prospect-theory; cognitive reflection; cross-section; HIGHER-ORDER; skewness; RISK; preference; bubbles; crashes; UNDERDIVERSIFICATION

摘要

Our study provides the first causal test of classical and behavioral asset pricing models that incorporate skewness pricing. In line with these models, our experimental markets show that skewness is systematically priced. Our findings also reveal that positively skewed assets available in small supply exhibit negative expected returns, which is consistent with prospect theory, but not with expected utility models. Furthermore, in line with the mechanism underlying prospect theory, we show that the negative returns of the positively skewed asset are most pronounced during market sessions where traders overweight the low probability of receiving a large payoff.