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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- repec:dgr:kubcen:199554 is not listed on IDEAS
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