Prospect Theory and Stock Market Anomalies
构建了一个基于前景理论的资产定价模型，该模型考虑投资者的盈亏历史，利用收益波动率、偏度和历史资本利得预测平均回报，并检验其对23个股票市场异象的解释力。
ABSTRACT 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 of the elements of prospect theory, accounts for investors' prior gains and losses, and makes quantitative predictions about an asset's average return based on empirical estimates of the asset's return volatility, return skewness, and past capital gain. We find that the model can help explain a majority of the 23 anomalies.