We present a new model of asset prices in which investors evaluate risk according to prospect theory and examine its ability to explain 23 prominent stock market anomalies. The model incorporates all of the elements of prospect theory, accounts for investors' prior gains and losses, and makes quantitative predictions about an asset's average return based on empirical estimates of the asset's return volatility, return skewness, and past capital gain. We find that the model can help explain a majority of the 23 anomalies.

中文翻译：

---

前景理论与股市异常

我们提出了一种新的资产价格模型，其中投资者根据前景理论评估风险并检验其解释 23 种突出股市异常的能力。该模型结合了前景理论的所有要素，考虑了投资者之前的收益和损失，并根据资产收益波动性、收益偏度和过去资本收益的经验估计对资产的平均收益进行了定量预测。我们发现该模型可以帮助解释 23 个异常中的大部分。