Probability distortions, collectivism, and international stock prices

Publikation: Beitrag in FachzeitschriftArtikelForschungPeer-Review

Autoren

  • Fabian Hollstein
  • Vulnet Sejdiu

Externe Organisationen

  • Universität des Saarlandes
Forschungs-netzwerk anzeigen

Details

OriginalspracheEnglisch
Aufsatznummer100836
FachzeitschriftJournal of Behavioral and Experimental Finance
Jahrgang39
Frühes Online-Datum28 Aug. 2023
PublikationsstatusVeröffentlicht - Sept. 2023

Abstract

There are substantial differences in the return premia due to probability distortions in individualist and collectivist cultures. Consistent with the substantially lesser degree of probabilistic thinking in collectivist cultures documented by the psychology literature, probability-distortion-related return premia are substantially higher there than in individualist cultures. Our methodology applies a novel composite probability distortion (CPD) score based on cumulative prospect theory and salience theory. This measure is priced among all size groups in the cross-section of international stock returns: low-CPD-score stocks are underpriced while those with high scores appear overpriced. Collectivism is the main driver of differences in the CPD premium across countries and U.S. states.

ASJC Scopus Sachgebiete

  • Volkswirtschaftslehre, Ökonometrie und Finanzen (insg.)
  • Finanzwesen

Zitieren

Probability distortions, collectivism, and international stock prices. / Hollstein, Fabian; Sejdiu, Vulnet.
in: Journal of Behavioral and Experimental Finance, Jahrgang 39, 100836, 09.2023.

Publikation: Beitrag in FachzeitschriftArtikelForschungPeer-Review

Hollstein, F & Sejdiu, V 2023, 'Probability distortions, collectivism, and international stock prices', Journal of Behavioral and Experimental Finance, Jg. 39, 100836. https://doi.org/10.1016/j.jbef.2023.100836
Hollstein, F., & Sejdiu, V. (2023). Probability distortions, collectivism, and international stock prices. Journal of Behavioral and Experimental Finance, 39, Artikel 100836. https://doi.org/10.1016/j.jbef.2023.100836
Hollstein F, Sejdiu V. Probability distortions, collectivism, and international stock prices. Journal of Behavioral and Experimental Finance. 2023 Sep;39:100836. Epub 2023 Aug 28. doi: 10.1016/j.jbef.2023.100836
Hollstein, Fabian ; Sejdiu, Vulnet. / Probability distortions, collectivism, and international stock prices. in: Journal of Behavioral and Experimental Finance. 2023 ; Jahrgang 39.
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