Probability weighting and default risk: a possible explanation for distressed stock puzzles
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DOI: 10.1080/14697688.2019.1698057
Abstract: 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.… read more here.
Keywords: weighting default; default risk; probability; probability weighting ... See more keywords