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| Format: | Artículo científico |
| Language: | en |
| Published: |
Fundação Getulio Vargas
2017
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| Online Access: | https://www.redalyc.org/articulo.oa?id=155154581007 https://www.redalyc.org/journal/1551/155154581007/ https://www.redalyc.org/journal/1551/155154581007/html/ https://www.redalyc.org/journal/1551/155154581007/155154581007.epub https://www.redalyc.org/journal/1551/155154581007/movil |
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Table of Contents:
- PROSPECT THEORY: A PARAMETRIC ANALYSIS OF FUNCTIONAL FORMS IN BRAZIL ROBERT EUGENE LOBEL MARCELO CABUS KLOTZLE PAULO VITOR JORDÃO DA GAMA SILVA ANTONIO CARLOS FIGUEIREDO PINTO Administración y Contabilidad Brazil value function prospect theory Behavioral finance weighting function This study aims to analyze risk preferences in Brazil based on prospect theory by estimating the risk aversion parameter of the expected utility theory (EUT) for a select sample, in addition to the value and probability function parameter, assuming various functional forms, and a newly proposed value func¬tion, the modified log. This is the first such study in Brazil, and the parameter results are slightly different from studies in other countries, indicating that subjects are more risk averse and exhibit a smaller loss aversion. Probability distortion is the only common factor. As expected, the study finds that behavioral models are superior to EUT, and models based on prospect theory, the TK and Prelec weighting function, and the value power function show superior performance to others. Finally, the modified log function proposed in the study fits the data well, and can thus be used for future studies in Brazil. 2017 artículo científico 0034-7590 https://www.redalyc.org/articulo.oa?id=155154581007 https://www.redalyc.org/journal/1551/155154581007/ https://www.redalyc.org/journal/1551/155154581007/html/ https://www.redalyc.org/journal/1551/155154581007/155154581007.epub https://www.redalyc.org/journal/1551/155154581007/movil 10.1590/S0034-759020170507 en http://www.redalyc.org/revista.oa?id=1551 RAE - Revista de Administração de Empresas application/pdf Fundação Getulio Vargas RAE - Revista de Administração de Empresas (Brasil) Num.5 Vol.57