[E] Stocks as Lotteries? An Experimental Test of Expected Utility vs Prospect Theory Models
Le 17 oct. 2024 de 13h00 à 14h00
Yao Thibaut KPEGLI, Maître de conférences en économie à l'UPPA
Séminaire le 17 octobre 2024 à 13h à Pau, en salle du Conseil (bâtiment de lettres); à Bayonne, en salle 110 ; via Teams.
We examine the impact of positive skewness on asset prices using CAPM experiments. Contrary to the predictions of expected utility models but consistent with prospect theory, our findings reveal that skewed assets available in small supply exhibit negative excess returns. In line with prospect theory models, we show that the negative excess return of the positively skewed asset is most pronounced in market sessions in which traders overweight the low probability of receiving a large payoff.
