展望理论的权重函数与证券收益率分布

中国管理科学 ›› 2005, Vol. ›› Issue (1): 24-29.

展望理论的权重函数与证券收益率分布

董大勇, 史本山, 曾召友

西南交通大学经济管理学院, 成都, 610031

收稿日期:2004-06-30 修回日期:2005-01-16 出版日期:2005-02-28 发布日期:2012-03-07

The Weighting Function of Prospect Theory and Stock Returns Distributions

DONG Da-yong, SHI Ben-shan, ZENG Zhao-you

School of Economics & Management, Southwest Jiaotong University, Chengdu 610031, China

Received:2004-06-30 Revised:2005-01-16 Online:2005-02-28 Published:2012-03-07

摘要/Abstract

摘要： 证券收益率的概率受到投资者主观判断概率的影响,从而形成“尖峰厚尾”等形态特征。在展望理论的权重函数的基础上,建立了收益率分布主观概率模型,对收益率分布的“厚尾分布”、中部形态及整体形态特征进行了理论推导。并利用深圳证券市场的441支股票的实际收益率分布的概率形态进行了实证分析,实证检验的结果与提出的模型所推导的特征性质得到了一致的吻合。

关键词: 展望理论, 权重函数, 主观概率, 厚尾分布

Abstract: This paper put forward that the stock returns could generate some attributions such as "excess kurtosis and fat tail" etc.because of the effect of investor’s subjective probabilities.We set up the subjective probabilities of the returns distributions based on the weighting function of the prospect theory.We deduced the "fat tailed distributions",the middle shape and the whole shape special characters of the return distributions in our model.Furthermore,we analyzed empirically by using the distributions of the real returns of 441 stocks on Shenzhen Stock Market and got the result that empirical testing is consistent with the characters deduced from the model proposed by the paper.

Key words: prospect theory, weighting function, subjective probability, fat tailed distributions

中图分类号:

F830.9

董大勇, 史本山, 曾召友. 展望理论的权重函数与证券收益率分布[J]. 中国管理科学, 2005, (1): 24-29.

DONG Da-yong, SHI Ben-shan, ZENG Zhao-you. The Weighting Function of Prospect Theory and Stock Returns Distributions[J]. Chinese Journal of Management Science, 2005, (1): 24-29.

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