Theories of choice under risk: Insights from financial markets

被引:31
作者
Kliger, Doron [1 ]
Levy, Ori [1 ]
机构
[1] Univ Haifa, Dept Econ, IL-31905 Haifa, Israel
关键词
Cumulative prospect theory; Expected utility; Market data; Rank-dependent expected utility; PARAMETER-FREE ELICITATION; LOSS AVERSION; PROSPECT-THEORY; POSITIVE AFFECT; EQUITY PREMIUM; UTILITY-THEORY; PROBABILITY; DECISION; MOOD; ATTITUDES;
D O I
10.1016/j.jebo.2009.01.012
中图分类号
F [经济];
学科分类号
02 ;
摘要
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). (C) 2009 Elsevier B.V. All rights reserved.
引用
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页码:330 / 346
页数:17
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