Stocks as Lotteries: The Implications of Probability Weighting for Security Prices
研究累积前景理论中的概率加权如何影响资产定价，发现正偏态证券可能被高估并获得负平均超额收益，为多种金融现象提供统一解释。
We study the asset pricing implications of Tversky and Kahneman's (1992) cumulative prospect theory, with a particular focus on its probability weighting component. Our main result, derived from a novel equilibrium with nonunique global optima, is that, in contrast to the prediction of a standard expected utility model, a security's own skewness can be priced: a positively skewed security can be “overpriced” and can earn a negative average excess return. We argue that our analysis offers a unifying way of thinking about a number of seemingly unrelated financial phenomena.