前景理论的预测能力: 基于股改的实证分析

Since the 1980s, prospect theory has been showed to have predictive power in various markets. Previous literature suggest that individual investors rely more on their intuition when making investment decisions. In this paper, using equity division reform as exogenous shock and Chinese stock market data, we directly test the predictive power of prospect theory. The empirical evidences consistently show that prospect theory has significant predictive power in Chinese stock market, especially for individual investors dominated Non-SOEs. Different from previous findings, all the three components of prospect theory significantly contribute to PTV's predictive power. After the equity division reform, the predictive power of prospect theory and its three components is much stronger, especially for SOEs.