文档介绍：Prosp ect Theory and Asset Prices
Nic holas Barb eris, Ming Huang, T ano San tos
Univ ersit y of Chicago, Stanford Univ ersit y , and Univ ersit y of Chicago
First Draft: Octob er 1998
This Draft: June 1999
W e thank man y of our colleagues for helpful discussions. Commen ts
w e at nic ******@ , mh ******@ or
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1
Abstract
W e prop ose a new framew ork for pricing assets, deriv ed in part
from the traditional consumption-based approac h, but whic h also in-
corp orates t w o long-standing ideas in psyc hology: the prosp ect theory
of Kahneman and Tv ersky 1979 , and the evidence of Thaler and
Johnson 1990 and others on the in uence of prior es on risky
c hoice.
Consisten t with prosp ect theory , the in v estor in our mo del deriv es
utilit y not only from consumption lev els but also from changes in the
v alue of his nancial w ealth. He is m uc h more sensitiv e to reductions
in w ealth than to increases, the
loss-a v ersion feature of prosp ect
utilit y . Moreo v er, consisten t with exp erimen tal evidence, the utilit y
he receiv es from gains and losses in w ealth dep ends on his prior in v est-
men t es; prior gains cushion subsequen t losses the so-called
house-money eect while prior losses in tensify the pain of subse-
quen t shortfalls.
W e study asset prices in the presence of agen ts with preferences
of this t yp e, and nd that our mo del can explain the high mean,
v olatilit y , and predictabilit yof sto c k returns. The k ey to our results
is that the agen t's risk-a v ersion c hanges o v er time as a function of
his in v estmen t p erformance. This generates time-v arying risk pre-
mia, whic h in turn mak e prices m uc h more v olatile than underlying
dividends. bination with the agen t's loss-a v ersion, the high
v olatilit y of returns generates large equit y premia. Our results obtain
with reasonable v alues for all par