Prospect theory and market quality

DOI10.1016/J.JET.2013.09.010zbMath1325.91020OpenAlexW3124963808MaRDI QIDQ2434351

Paolo Pasquariello

Publication date: 5 February 2014

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2013.09.010

zbMATH Keywords

prospect theoryvolatilitymarket liquiditytrading volumeendogenous information acquisitionprice efficiency

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16) Financial applications of other theories (91G80)

Related Items (5)

Equilibrium asset pricing with Epstein-Zin and loss-averse investors ⋮ The pricing effects of ambiguous private information ⋮ Loss Aversion and Consumption Plans with Stochastic Reference Points ⋮ Loss aversion, survival and asset prices ⋮ Introduction to financial economics

Cites Work

• Unnamed Item
• Unnamed Item
• Elementary proof that mean-variance implies quadratic utility
• Liquidity and asset prices in rational expectations equilibrium with ambiguous information
• Computing second-order-accurate solutions for rational expectation models using linear solution methods
• Optimal research for Cournot oligopolists
• Advances in prospect theory: cumulative representation of uncertainty
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• The pricing effects of ambiguous private information
• Social learning and costly information acquisition
• Competitive rational expectations equilibria without apology
• Prospect theory and liquidation decisions
• Prospect Theory and Asset Prices
• Knowing What Others Know: Coordination Motives in Information Acquisition
• Continuous Auctions and Insider Trading
• Aggregation of Information in Large Cournot Markets
• The Solution of Linear Difference Models under Rational Expectations
• Information Acquisition in a Noisy Rational Expectations Economy
• Prospect Theory: An Analysis of Decision under Risk
• Uncertainty, Information Acquisition, and Price Swings in Asset Markets
• Insider Trading, Stochastic Liquidity, and Equilibrium Prices
• Myopic Loss Aversion and the Equity Premium Puzzle

This page was built for publication: Prospect theory and market quality