کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
884263 912381 2009 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Theories of choice under risk: Insights from financial markets
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Theories of choice under risk: Insights from financial markets
چکیده انگلیسی

To date, the plausibility of theories of choice under risk hinges are mainly on experimental evidence. This paper devises and implements an approach amenable of assessing the performance of three families of models (expected utility, rank-dependent expected utility, and the cumulative prospect theory) using information from financial asset markets. Our findings unequivocally support reference-point dependence, diminishing marginal sensitivity, loss aversion, and nonlinear weighting of (gain and loss) physical probabilities. The empirical observations are found to be robust to, inter alia, the parameterization of the utility and probability weighting functions, “day-of-the-week effects”, the choice of a reference point, and the introduction of possible, low-probability market crashes (peso component).

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Behavior & Organization - Volume 71, Issue 2, August 2009, Pages 330–346
نویسندگان
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