概率扭曲和不参与

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2024-09-19 DOI:10.1016/j.econlet.2024.111989

Lunyi Wang , Yao Wang , Shunming Zhang

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引用次数: 0

摘要

本文探讨了概率扭曲对投资者参与决策和市场表现的影响。具体而言，我们构建了一个单期投资模型，其中包含两类投资者--概率悲观型投资者和中性投资者。前者在做决策时更看重坏结果和尾部事件。我们的研究结果表明，不参与是由这些概率悲观型投资者引起的。在均衡状态下，他们的参与决策会影响资产溢价，而资产溢价可分解为风险溢价和概率溢价。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Probability distortion and non-participation

This paper explores the impact of probability distortion on investors’ participation decisions and market performance. Specifically, we construct a one-period investment model with two types of investors—probabilistic pessimistic and neutral investors. The former assign more weight to bad outcomes and tail events when making decisions. Our findings suggest that non-participation arises from these probabilistic pessimistic investors. In equilibrium, their participation decisions affect the asset premium, which can be decomposed into the risk premium and probabilistic premium.

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.