Prospect Theory and Asset Pricing
| Autor: | Jr-yan Wang, 王之彥 |
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| Rok vydání: | 2002 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 90 Many recent articles have tried to introduce some new psychological characteristics into the utility function to improve its ability to describing the behavior of human beings, such as the prospect theory, habit formation, and the disappointment aversion attitude, etc. There are two parts in this paper, and both parts try to employ some of these characteristics to study issues of capital market. Via solving the equity premium puzzle, both parts hope to show that it is necessary to model real behavior of human beings into the utility function in asset pricing model. The first part in this paper follows the original representative-agent consumption-based asset pricing model. In addition, we take the prospect theory into consideration and at the same time, the reference point in the prospect theory of our model consists of habit formation and "catching up with the Joneses". In the second part, following the framework of Lucas (1994), we release the representative-agent assumption and consider a heterogeneous-agent model. Again, we assume the behavior of each agent in the model exhibits the characteristic of ''catching up with the Joneses". The results of both parts show that by improving the description ability of utility functions, we can enhance the original models to be more realistic and obtain better outcomes. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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