Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs
运用考虑风险寻求的随机占优准则，分析市场组合相对于市值、账面市值比和动量基准组合的效率，发现反向S型效用函数和主观概率转换能解释股票收益，低收益的大盘股、成长股和过去输家反映了投资者对熊市下行保护和牛市上行潜力的双重需求。
We use various stochastic dominance criteria that account for (local) risk seeking to analyze market portfolio efficiency relative to benchmark portfolios formed on market capitalization, book-to-market equity ratio and price momentum. Our results suggest that reverse S-shaped utility functions with risk aversion for losses and risk seeking for gains can explain stock returns. The results are also consistent with a reverse S-shaped pattern of subjective probability transformation. The low average yield on big caps, growth stocks, and past losers may reflect investors' twin desire for downside protection in bear markets and upside potential in bull markets. Copyright 2005, Oxford University Press.