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Cited by 1,544

The DOI matches its Crossref record; 53 of the 53 references it cites were found in a registry or an index.

Stocks as Lotteries: The Implications of Probability Weighting for Security Prices

Open access
Barberis, Nicholas, Huang, Ming·2008·American Economic Review
DOI 10.1257/aer.98.5.2066
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Abstract

We study the asset pricing implications of Tversky and Kahneman's (1992) cumulative prospect theory, with a particular focus on its probability weighting component. Our main result, derived from a novel equilibrium with nonunique global optima, is that, in contrast to the prediction of a standard expected utility model, a security's own skewness can be priced: a positively skewed security can be “overpriced” and can earn a negative average excess return. We argue that our analysis offers a unifying way of thinking about a number of seemingly unrelated financial phenomena. (JEL D81, G11, G12)

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Metadata

Authors
Barberis, N., & Huang, M.
Venue
American Economic Review
Publisher
American Economic Association
Published
2008-11-01
Volume
98
Issue
5
Pages
2066-2100
ISSN
0002-8282 (ISSN-L)
DOI
10.1257/aer.98.5.2066
OpenAlex
W3121253679
Cited by
1,544
References
53
FWCI
90.40
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Stocks as Lotteries: The Implications of Probability Weighting for Security Prices. https://app.cochat.ai/papers/10.1257/aer.98.5.2066
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Barberis, N., & Huang, M. (2008). Stocks as Lotteries: The Implications of Probability Weighting for Security Prices. American Economic Review. https://doi.org/10.1257/aer.98.5.2066

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.