Prospect theory for stock markets: Empirical evidence with time-series data

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.

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Year of publication:	2009
Authors:	Zhang, Wenlang ; Semmler, Willi
Published in:	Journal of Economic Behavior & Organization. - Elsevier, ISSN 0167-2681. - Vol. 72.2009, 3, p. 835-849
Publisher:	Elsevier
Keywords:	Prospect theory Loss aversion State-space model House-money effect Break-even effect

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008460019