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

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• Uncertainty, Information Acquisition, and Price Swings in Asset Markets
• Insider Trading, Stochastic Liquidity, and Equilibrium Prices
• Myopic Loss Aversion and the Equity Premium Puzzle

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