Earticle

초록

영어

This study investigates the negative relationship between prospect theory value and expected return considering the fat-tail property of the return distribution. The results of both decile portfolio and crosssectional regression show evidence supporting the hypothesis related to prospect theory value. However, these results are very sensitive to whether the model includes a short-term reversal factor. In the empirical design combining the hypothesis with the degree of fat-tail of the return distribution, stock groups with the fat-tail return distribution definitely show that prospect theory value has a significant information value for explaining expected return, regardless of whether the short-term reversal and other factors are included in the models. These results suggest that both the fat-tail property in the stock return distribution and the property of the skewed return distribution must be considered in examining the relationship between prospect theory value and expected return. Furthermore, our findings on the effects of the fat-tail property of the return distribution are verified through robustness testing while considering changes in empirical design and using out-of-sample stock markets of the U.S., Japan, and China, as well as the in-sample Korean stock market.

목차

ABSTRACT:
1. Introduction
2. Empirical Design
2.1. Data and Period
2.2. Methodology
3. Results
3.1. Testing hypothesis related to prospect theory value
3.2. Testing hypothesis under the fat-tail property of the return distribution
3.3. Robustness test
4. Conclusions
References

키워드

저자

• Cheoljun EOM [ School of Business, Pusan National University, Busan 46241, Rep. of Korea ]
• Jong Won PARK [ College of Business Administration, University of Seoul, Seoul 02504, Rep. of Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330