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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


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    題名: Prospect Theory and the Risk-Return Paradox: Some Recent Evidence
    作者: Chou, Pin-Huang;Chou, Robin K.;Ko, Kuan-Cheng
    周冠男
    貢獻者: 財管系
    關鍵詞: Least trimmed squares (LTS);Prospect theory;Risk-return paradox;Survivorship bias
    日期: 2009-07
    上傳時間: 2015-01-08 18:05:16 (UTC+8)
    摘要: 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.
    關聯: Review of Quantitative Finance and Accounting, 33(3), 193-208.
    資料類型: article
    顯示於類別:[財務管理學系] 期刊論文

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