کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10475248 929074 2012 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Aggregate investor preferences and beliefs in stock market: A stochastic dominance analysis
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Aggregate investor preferences and beliefs in stock market: A stochastic dominance analysis
چکیده انگلیسی
This paper analyzes whether the market portfolio is efficiently related to benchmark portfolios formed on size, value, momentum and reversal with various utility theories by using stochastic dominance criteria. The results support the prospect theory including assumption of loss aversion at monthly and yearly horizons, which indicates the market utility is S-shaped, and steeper for losses than for gains. And, the findings do not provide convincing evidence for positive skewness preference. Therefore, it should probe into asset pricing model and financial puzzles by prospect theory preferences. It may thus be difficult for the market to benefit from the asset through its features on skewness or other higher order central moment. We also develop several bootstrap procedures with favorable properties in statistical size and power for testing stochastic dominance efficiency.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 19, Issue 4, September 2012, Pages 528-547
نویسندگان
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