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Prospect Theory and the CAPM : A contradiction or coexistence?

Levy, Haim; De Giorgi, Enrico; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

Under the assumption of normally distributed returns, we analyzewhether the Cumulative Prospect Theory of Tversky and Kahneman (1992)is consistent with the Capital Asset Pricing Model. We ﬁnd that in everyﬁnancial market equilibrium the Security Market Line Theorem holds.However, under the...

Persistent link: https://www.econbiz.de/10005858756

A model-independent measure of aggregate idiosyncratic risk

Bali, Turan G.; Cakici, Nusret; Levy, Haim - In: Journal of empirical finance 15 (2008) 5, pp. 878-896

Persistent link: https://www.econbiz.de/10003776398

Experimental tests of the separation theorem and the capital asset pricing model

Kroll, Yoram - In: The American economic review 78 (1988) 3, pp. 500-519

Persistent link: https://www.econbiz.de/10001047298

Overweighing recent observations: experimental results and economic implications

Levy, Haim; Levy, Moshe - 2005

Persistent link: https://www.econbiz.de/10003279578

Capital asset prices with heterogenous beliefs

Levy, Haim; Levy, Moshe; Benita, Golan - In: The journal of business : B 79 (2006) 3, pp. 1317-1354

Persistent link: https://www.econbiz.de/10003336998

Bonds versus stocks : investors' age and risk taking

Bali, Turan G.; Demirtas, K. Ozgur; Levy, Haim; Wolf, … - In: Journal of monetary economics 56 (2009) 6, pp. 817-830

Persistent link: https://www.econbiz.de/10003894068

Is there an intertemporal relation between downside risk and expected returns?

Bali, Turan G.; Demirtas, K. Ozgur; Levy, Haim - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 4, pp. 883-909

Persistent link: https://www.econbiz.de/10003901202

Basel's value-at-risk capital requirement regulation : an efficiency analysis

Kaplanski, Guy; Levy, Haim - In: Journal of banking & finance 31 (2007) 6, pp. 1887-1906

Persistent link: https://www.econbiz.de/10003483521

The investment-consumption decision under capital rationing: An efficient set analysis

Arditti, Fred D.; Grinold, Richard C.; Levy, Haim - In: The review of economic studies 40 (1973) 123, pp. 367-376

Persistent link: https://www.econbiz.de/10003473205

Sentiment and stock prices : the case of aviation disasters

Kaplanski, Guy; Levy, Haim - In: Journal of financial economics 95 (2010) 2, pp. 174-201

Persistent link: https://www.econbiz.de/10003939528