REVIEW OF FINANCIAL STUDIES·(2016)29(11):3068-3107.doi:10.1093/rfs/hhw054·First published online: June 21, 2016

预期理论与股票收益：一个实证检验

作者：Nicholas Barberis (Yale School of Management), Abhiroop Mukherjee (Hong Kong University of Science and Technology), Baolian Wang (Fordham University)

摘要：我们检验了这样一个假设：当考虑把钱投资于一只股票时，投资者在心理上会用股票历史收益的分布来代表这只股票，并且用预期理论提出的方式来评价这种收益分布。在一个一些投资者会采取的资产定价的简单模型中，如果一只股票的历史收益分布有一个高（低）的预期理论价值，那么平均来说，这只股票会有一个低（高）的未来收益。本文研究发现，美国市场的横截面股票收益数据对这个预测提供了实证支持，其余46个国家股市中的大部分也对此提供了实证支持。

Prospect Theory and Stock Returns: An Empirical Test

Nicholas Barberis (Yale School of Management), Abhiroop Mukherjee (Hong Kong University of Science and Technology), Baolian Wang (Fordham University)

ABSTRACT

We test the hypothesis that, when thinking about allocating money to a stock, investors mentally represent the stock by the distribution of its past returns and then evaluate this distribution in the way described by prospect theory. In a simple model of asset prices in which some investors think in this way, a stock whose past return distribution has a high (low) prospect theory value earns a low (high) subsequent return, on average. We find empirical support for this prediction in the cross-section of stock returns in the U.S. market, and also in a majority of forty-six other national stock markets.

原文链接：

http://rfs.oxfordjournals.org/content/29/11/3068.abstract?sid=83af15a6-d320-4423-8f3c-21230f36af13

翻译：何杉