TY  - BOOK
AU  - Barberis,Nicholas C.
AU  - Jin,Lawrence J.
AU  - Wang,Baolian
ED  - National Bureau of Economic Research.
TI  - Prospect Theory and Stock Market Anomalies
T2  - NBER working paper series
PY  - 2020///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - May 2020; Hardcopy version available to institutional subscribers
N2  - We present a new model of asset prices in which investors evaluate risk according to prospect theory and examine its ability to explain 23 prominent stock market anomalies. The model incorporates all the elements of prospect theory, takes account of investors' prior gains and losses, and makes quantitative predictions about an asset's average return based on empirical estimates of its volatility, skewness, and past capital gain. We find that the model is helpful for thinking about a majority of the 23 anomalies
UR  - https://www.nber.org/papers/w27155
UR  - http://dx.doi.org/10.3386/w27155
ER  -