Scandinavian Working Papers in Business Administration
Discussion Papers,
Norwegian School of Economics, Department of Business and Management Science
No 2005/20: Prospect Theory and the Size and Value Premium Puzzles
Enrico De Giorgi (), Thorsten Hens () and Thierry Post ()
Additional contact information
Enrico De Giorgi: Institute of Finance, University of Lugano, Postal: Institute of Finance, University of Lugano, Via Buffi 13, CH-6900 Lugano, Switzerland
Thorsten Hens: Institute for Empirical Research in Economics, University of Zurich, Postal: University of Zurich, Institute for Empirical Research in Economics, Blümlisalpstrasse 10, 8006 Zürich, Switzerland
Thierry Post: Erasmus School of Economics, Erasmus University of Rotterdam, Postal: Erasmus University of Rotterdam, Erasmus School of Economics, P.O. Box 1738, 3000 DR Rotterdam, The Netherlands
Abstract: Using canonical data for the US stock and bond markets, we show that the kinked piecewise exponential value function can rationalize the cross-section of stock returns in addition to the level of the equity premium, while the kinked piecewise-power value function of Tversky and Kahneman can explain only the latter.
Keywords: Prospect Theory; Premium Puzzles
JEL-codes: G00
9 pages, December 22, 2005
Full text files
163758
- Norwegian School of Economics, Department of Business and Management Science
- Ordering Working Papers
- Home page for this series
Questions (including download problems) about the papers in this series should be directed to Stein Fossen ()
Report other problems with accessing this service to Sune Karlsson ().
RePEc:hhs:nhhfms:2005_020This page generated on 2025-02-22 04:36:13.