Abstract: Based on the cumulated prospect theory,using cumulative probability to describe the influence of subjective factors upon the distribution of fundamental value,this paper establishes a subjective model of the distribution of returns.And more,this paper proposes the methods to estimate the decision risk,the investing sentiment and bounded rational of investors.Using empirical data of Shanghai A-share,the paper does a chi-squared test of distribution fitting,the results show that,at the 0.05 level,69.56% of the stocks give an acceptable fit for subjective model of the distribution of returns,while 56.31%,44.80%, 46.06% and 1.74% for t distribution,mix-double normal distribution,stable distribution and normal distribution.Comparing the difference of investors behavior between the large and the small corporations, and analyzing empirical evidences that the fundamental factors and behavioral factors,estimated from the subjective model of the distribution of returns,which explaine the cross-sectional returns of the single stocks,the results show that subjective model of the distribution of returns and the estimate methods of behavior factors are reasonable.

Key words: distribution of returns, weighting function, risk attitude, investing sentiment, bounded rational