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Prospect Theory and Stock Market Anomalies
Barberis, Nicholas; Jin, Lawrence J.; Wang, Baolian - 2021
We present a new model of asset prices in which investors evaluate risk according to prospect theory and examine its … ability to explain 23 prominent stock market anomalies. The model incorporates all the elements of prospect theory, takes …
Persistent link: https://www.econbiz.de/10013314309
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Comovement
Barberis, Nicholas - 2002
A number of studies have identifed patterns of positive correlation of returns, or comovement, among different traded securities. We distinguish three views of such comovement. The traditional 'fundamentals' view explains the comovement of securities through positive correlations in the rational...
Persistent link: https://www.econbiz.de/10012787252
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Style Investing
Barberis, Nicholas - 2001
for reasons unrelated to risk. They also lead to a rich pattern of own- and cross-autocorrelations, sample premia that can …
Persistent link: https://www.econbiz.de/10012787895