Prospect theory and the size and value premium puzzles

dc.contributor.author	De Giorgi, Enrico
dc.contributor.author	Hens, Thorsten
dc.contributor.author	Post, Thierry
dc.date.accessioned	2006-07-11T07:39:30Z
dc.date.available	2006-07-11T07:39:30Z
dc.date.issued	2005-11
dc.identifier.issn	1500-4066
dc.identifier.uri	http://hdl.handle.net/11250/163757
dc.description.abstract	Using canonical data for the US stock and bond markets, we show that the kinked piecewiseexponential value function can rationalize the cross-section of stock returns in addition to the level of the equity premium, while the kinked piecewise-power value function of Tversky and Kahneman can explain only the latter.	en
dc.format.extent	93754 bytes
dc.format.mimetype	application/pdf
dc.language.iso	eng	en
dc.publisher	Norwegian School of Economics and Business Administration. Department of Finance and Management Science	en
dc.relation.ispartofseries	Discussion paper	en
dc.relation.ispartofseries	2005:20	en
dc.title	Prospect theory and the size and value premium puzzles	en
dc.type	Working paper	en