Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
884309 | Journal of Economic Behavior & Organization | 2009 | 15 Pages |
Abstract
Based on the loss aversion model of asset pricing, this paper explores empirical evidence on the prospect theory for stock markets with time-series data. The analysis, using a state-space model, shows that previous gains and losses may have asymmetric effects on investment behavior, pointing to the possibility of break-even effects ignored by asset-pricing models using prospect theory.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Wenlang Zhang, Willi Semmler,