Blar i Department of Business and Management Science på forfatter "Post, Thierry"
-
Prospect theory and the size and value premium puzzles
De Giorgi, Enrico; Hens, Thorsten; Post, Thierry (Discussion paper, Working paper, 2005-11)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 ...