Probability weighting and default risk: a possible explanation for distressed stock puzzles

DOI10.1080/14697688.2019.1698057zbMath1466.91360OpenAlexW3002250995WikidataQ126295348 ScholiaQ126295348MaRDI QIDQ4991055

Akira Yamazaki

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1698057

zbMATH Keywords

default riskprobability weighting functionasset pricing puzzlesconsumption-based asset pricingbusiness timedistressed stock

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

Cites Work

• Advances in prospect theory: cumulative representation of uncertainty
• Processes of normal inverse Gaussian type
• Rare Disasters and Asset Markets in the Twentieth Century*
• Asset Prices in an Exchange Economy
• Prospect Theory: An Analysis of Decision under Risk
• Curvature of the Probability Weighting Function
• The Probability Weighting Function
• A dynamic equilibrium model for U-shaped pricing kernels
• Macro-Finance*
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Stochastic Volatility for Lévy Processes
• Financial Modelling with Jump Processes
• Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
• Common risk factors in the returns on stocks and bonds

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