Probability weighting and default risk: a possible explanation for distressed stock puzzles
Probability weighting and default risk: a possible explanation for distressed stock puzzles
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DOI：
10.1080/14697688.2019.1698057
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发表时间：
2018-02
影响因子：
1.3
通讯作者：
A. Yamazaki
中科院分区：
文献类型：
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作者：
A. Yamazaki
本文建议将投资者概率权重和单个公司的违约风险纳入基于消费的资产定价模型。扩展模型为金融市场中观察到的几种异常模式提供了统一的解释。分析不仅解决了广泛认可的资产定价难题，如股权溢价之谜，但也较少研究异常的财务困境的股票。根据美国的历史数据对模型进行校准的模拟表明，对尾部事件的概率进行轻度加权和违约风险导致的股权价值的非线性相结合，有可能解决这些模式。
This paper suggests incorporating investor probability weighting and the default risk of individual firms into a consumption-based asset pricing model. The extended model provides a unified explanation for several anomalous patterns observed in financial markets. The analysis addresses not only widely recognized asset pricing puzzles, such as the equity premium puzzle, but also less-studied anomalies on financially distressed stocks. The simulation, under which the model is calibrated according to U.S. historical data, shows that a combination of mild overweighting of probability on tail events and nonlinearity of equity values caused by default risk has the potential to resolve these patterns.