Prospect Theory and Asset Prices
研究投资者不仅从消费中获得效用，也从金融财富价值波动中获得效用，且对波动存在损失厌恶，其程度取决于前期投资表现。该框架有助于解释股票收益的高均值、过度波动、可预测性以及与消费增长的低相关性。
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.