The Review of Financial Studies, Vol. 32, No. 9 (September 2019), pp. 3667-3724 (58 pages) We develop a tractable equilibrium asset pricing model with cumulative prospect theory (CPT) preferences.

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 ...

A new global study offers a powerful confirmation of one of the most influential frameworks in all of behavioral sciences and behavioral economics: prospect theory, which when introduced in 1979 led ...