展望理论的权重函数与证券收益率分布

Abstract

Abstract: This paper put forward that the stock returns could generate some attributions such as "excess kurtosis and fat tail" etc.because of the effect of investor’s subjective probabilities.We set up the subjective probabilities of the returns distributions based on the weighting function of the prospect theory.We deduced the "fat tailed distributions",the middle shape and the whole shape special characters of the return distributions in our model.Furthermore,we analyzed empirically by using the distributions of the real returns of 441 stocks on Shenzhen Stock Market and got the result that empirical testing is consistent with the characters deduced from the model proposed by the paper.

Key words: prospect theory, weighting function, subjective probability, fat tailed distributions

CLC Number:

F830.9

DONG Da-yong, SHI Ben-shan, ZENG Zhao-you. The Weighting Function of Prospect Theory and Stock Returns Distributions[J]. Chinese Journal of Management Science, 2005, (1): 24-29.

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The Weighting Function of Prospect Theory and Stock Returns Distributions

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