Prospect Theory and Stock Returns: An Empirical Test (Digest Summary):N. Barberis, A. Mukherjee & B. Wang: Review of Financial Studies, Vol. 29 (November 2016), 3068-3107

Jackson, Antony (2017) Prospect Theory and Stock Returns: An Empirical Test (Digest Summary):N. Barberis, A. Mukherjee & B. Wang: Review of Financial Studies, Vol. 29 (November 2016), 3068-3107. In: UNSPECIFIED CFA Institute.

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Abstract

Investors who use prospect theory to evaluate stocks according to their historical return distributions may excessively bid up stocks with high historical mean returns, low volatilities, and positive skewness. The authors find a negative relationship between stocks’ prospect theory values and their future returns in the cross section.

Item Type: Book Section
Additional Information: CFA Digest Summary of 'Prospect Theory and Stock Returns: An Empirical Test'; N. Barberis, A. Mukherjee & B. Wang, Review of Financial Studies, Vol. 29, No. 11 (November 2016): 3068-3107.
Faculty \ School: Faculty of Social Sciences > School of Economics
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Depositing User: Pure Connector
Date Deposited: 31 May 2017 09:35
Last Modified: 27 Nov 2018 00:53
URI: https://ueaeprints.uea.ac.uk/id/eprint/63625
DOI:

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