REVIEW OF FINANCIAL STUDIES·(2016)29(11):3068-3107.doi:10.1093/rfs/hhw054·First published online: June 21, 2016

預期理論與股票收益：一個實證檢驗

作者：Nicholas Barberis (Yale School of Management), Abhiroop Mukherjee (Hong Kong University of Science and Technology), Baolian Wang (Fordham University)

摘要：我們檢驗了這樣一個假設：當考慮把錢投資于一隻股票時，投資者在心理上會用股票曆史收益的分布來代表這隻股票，并且用預期理論提出的方式來評價這種收益分布。在一個一些投資者會采取的資産定價的簡單模型中，如果一隻股票的曆史收益分布有一個高（低）的預期理論價值，那麼平均來說，這隻股票會有一個低（高）的未來收益。本文研究發現，美國市場的橫截面股票收益數據對這個預測提供了實證支持，其餘46個國家股市中的大部分也對此提供了實證支持。

Prospect Theory and Stock Returns: An Empirical Test

Nicholas Barberis (Yale School of Management), Abhiroop Mukherjee (Hong Kong University of Science and Technology), Baolian Wang (Fordham University)

ABSTRACT

We test the hypothesis that, when thinking about allocating money to a stock, investors mentally represent the stock by the distribution of its past returns and then evaluate this distribution in the way described by prospect theory. In a simple model of asset prices in which some investors think in this way, a stock whose past return distribution has a high (low) prospect theory value earns a low (high) subsequent return, on average. We find empirical support for this prediction in the cross-section of stock returns in the U.S. market, and also in a majority of forty-six other national stock markets.

原文鍊接：

http://rfs.oxfordjournals.org/content/29/11/3068.abstract?sid=83af15a6-d320-4423-8f3c-21230f36af13

翻譯：何杉