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1、ProspectTheory,theDispositionEffectandAssetPricesYanLiandLiyanYang∗AbstractThispaperproposesafullequilibriummodelforstudyingtheimplicationsoftheS-shapedvaluefunctionofprospecttheoryforindividualtrading,securitypricesandtradingvolume.Weshowthat(i)theconcavity/conv
2、exityofthevaluefunctioncandrivethedispositioneffect;(ii)thedispositioneffectcanleadtomomentuminthecross-sectionofstockreturns;(iii)thedispositioneffectcanexplainwhythereismoretradinginrisingmarketsthaninfallingmarkets;and(iv)theconcavity/convexityofthevaluefunction
3、alone,intheabsenceoflossaversion,raisesequitypremiums.Inparticular,prospecttheorypreferencewithTverskyandKahneman(1992JRU)parametervaluesgeneratesannualpricemomentumofroughly1%inacalibratedeconomy.KeywordsProspectTheory;MentalAccounting;DispositionEffect;Momentum
4、;EquityPremium;Turnover.JELclassificationG11,G12.∗TheauthorsareattheDepartmentofEconomics,CornellUniversity,Ithaca,NY14850.Theire-mailaddressesareand,respectively.WethankMalcolmBaker,NickBarberis,DanBenjamin,LarryBlume,MarkusB
5、runnermeier,ItayGoldstein,YanivGrinstein,Albert(Pete),Kyle,RoniMichaely,MaxMihm,LubošPástor,TedO’Donoghue,GideonSaar,HershShefrin,SeymourSmidt,RussellToth,DavidWeinbaum,XiaoyanZhang,theaudiencesattheCornellTWIPSworkshop,CornellJohnsonSchoolFinanceSeminar,and2008
6、FMASpecialPhDStudentPaperPresentationSessionforcommentsandsuggestions.ThesuggestionsofDavidEasley,MingHuangandMaureenO’Harawereparticularlyhelpfulinimprovingthepaper.Allerrorsareourresponsibilityandwewelcomeanycomments.11IntroductionOnepuzzlingfactabouttradingby
7、individualinvestorsisthe“dispositioneffect”:investorshaveagreatertendencytosellassetsthathaveriseninvaluesincepurchasethanthosethathavefallen.1Thiseffecthasbeenobservedbothinexperimentalmarketsandinmanyrealmarkets.2Recentempiricalstudiesshowthatthedispositioneffect
8、cangeneratemomentuminstockreturns(GrinblattandHan,2005;ShumwayandWu,2007),inducepost-earningsannouncementdrift(Frazzini,2006),andaffecttradingvolume(e.g.,Statmanetal.,
