IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-05740177.html

Stocks as Lotteries? An Experimental Test of Expected Utility versus Behavioral Models

Author

Listed:
  • Brice Corgnet

    (EM - EMLyon Business School)

  • Yao Thibaut Kpegli

    (TREE - Transitions Energétiques et Environnementales - UPPA - Université de Pau et des Pays de l'Adour - CNRS - Centre National de la Recherche Scientifique)

  • Jacopo Magnani

    (NTNU - Norwegian University of Science and Technology [Trondheim] - NTNU - Norwegian University of Science and Technology = Norges Teknisk-Naturvitenskapelige Universitet = Norjan teknis-luonnontieteellinen yliopisto)

Abstract

Our study provides the first causal test of classical and behavioral asset pricing models that incorporate skewness pricing. In line with these models, our experimental markets show that skewness is systematically priced. Our findings also reveal that positively skewed assets available in small supply exhibit negative expected returns, which is consistent with prospect theory, but not with expected utility models. Furthermore, in line with the mechanism underlying prospect theory, we show that the negative returns of the positively skewed asset are most pronounced during market sessions where traders overweight the low probability of receiving a large payoff.

Suggested Citation

  • Brice Corgnet & Yao Thibaut Kpegli & Jacopo Magnani, 2026. "Stocks as Lotteries? An Experimental Test of Expected Utility versus Behavioral Models," Post-Print hal-05740177, HAL.
    • Handle: RePEc:hal:journl:hal-05740177
    DOI: 10.1093/rfs/hhag070
    Note: View the original document on HAL open archive server: https://hal.science/hal-05740177v1
    as

    Download full text from publisher

    File URL: https://hal.science/hal-05740177v1/document
    Download Restriction: no
    File URL: https://libkey.io/10.1093/rfs/hhag070?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-05740177. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.