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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/72722

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/72722

Title:	Prospect Theory and the Risk-Return Paradox: Some Recent Evidence
Authors:	Chou, Pin-Huang;Chou, Robin K.;Ko, Kuan-Cheng 周冠男
Contributors:	財管系
Keywords:	Least trimmed squares (LTS);Prospect theory;Risk-return paradox;Survivorship bias
Date:	2009-07
Issue Date:	2015-01-08 18:05:16 (UTC+8)
Abstract:	There is extensive evidence indicating a negative risk–return relation when a firm’s performance is measured based on accounting measures such as return on asset (ROA) and return on equity (ROE). Previous studies show that the risk-return paradox can be explained by the prospect theory, which predicts that managers’ risk attitudes are different for firms of different performances. However, those studies mostly use earlier data from the COMPUSTAT database, which suffers from a survivorship bias. Failure to account for delisting firms may understate the risk–return relation. We reexamine the mixture of risk-seeking and risk-averse behaviors based on an updated 20-year sample period that is free from the survivorship problem. Interestingly, our results show stronger and robust evidence supporting the prospect theory during the period from 1984 to 2003.
Relation:	Review of Quantitative Finance and Accounting, 33(3), 193-208.
Data Type:	article
Appears in Collections:	[財務管理學系] 期刊論文

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