Prospect Theory and the Size and Value Premium Puzzles

Using canonical data for the US stock and bond markets, we show that the kinked piecewise exponential value function can rationalize the cross-section of stock returns in addition to the level of the equity premium, while the kinked piecewise-power value function of Tversky and Kahneman can explain only the latter

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Year of publication:	[2013]
Authors:	De Giorgi, Enrico
Other Persons:	Hens, Thorsten (contributor) ; Post, Thierry (contributor)
Publisher:	[2013]: [S.l.] : SSRN

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