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Prospect Theory and Stock Market Anomalies / Nicholas C. Barberis, Lawrence J. Jin, Baolian Wang.
- Format:
- Book
- Author/Creator:
- Barberis, Nicholas C.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w27155.
- NBER working paper series no. w27155
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2020.
- Summary:
- We present a new model of asset prices in which investors evaluate risk according to prospect theory and examine its ability to explain 23 prominent stock market anomalies. The model incorporates all the elements of prospect theory, takes account of investors' prior gains and losses, and makes quantitative predictions about an asset's average return based on empirical estimates of its volatility, skewness, and past capital gain. We find that the model is helpful for thinking about a majority of the 23 anomalies.
- Notes:
- Print version record
- May 2020.
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