{"title":"概率扭曲和不参与","authors":"Lunyi Wang , Yao Wang , Shunming Zhang","doi":"10.1016/j.econlet.2024.111989","DOIUrl":null,"url":null,"abstract":"<div><div>This paper explores the impact of probability distortion on investors’ participation decisions and market performance. Specifically, we construct a one-period investment model with two types of investors—probabilistic pessimistic and neutral investors. The former assign more weight to bad outcomes and tail events when making decisions. Our findings suggest that non-participation arises from these probabilistic pessimistic investors. In equilibrium, their participation decisions affect the asset premium, which can be decomposed into the risk premium and probabilistic premium.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"244 ","pages":"Article 111989"},"PeriodicalIF":2.1000,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Probability distortion and non-participation\",\"authors\":\"Lunyi Wang , Yao Wang , Shunming Zhang\",\"doi\":\"10.1016/j.econlet.2024.111989\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>This paper explores the impact of probability distortion on investors’ participation decisions and market performance. Specifically, we construct a one-period investment model with two types of investors—probabilistic pessimistic and neutral investors. The former assign more weight to bad outcomes and tail events when making decisions. Our findings suggest that non-participation arises from these probabilistic pessimistic investors. In equilibrium, their participation decisions affect the asset premium, which can be decomposed into the risk premium and probabilistic premium.</div></div>\",\"PeriodicalId\":11468,\"journal\":{\"name\":\"Economics Letters\",\"volume\":\"244 \",\"pages\":\"Article 111989\"},\"PeriodicalIF\":2.1000,\"publicationDate\":\"2024-09-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Economics Letters\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0165176524004737\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economics Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0165176524004737","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
This paper explores the impact of probability distortion on investors’ participation decisions and market performance. Specifically, we construct a one-period investment model with two types of investors—probabilistic pessimistic and neutral investors. The former assign more weight to bad outcomes and tail events when making decisions. Our findings suggest that non-participation arises from these probabilistic pessimistic investors. In equilibrium, their participation decisions affect the asset premium, which can be decomposed into the risk premium and probabilistic premium.
期刊介绍：
Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.
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