Estimating cumulative prospect theory parameters from an international survey

Marc Oliver Rieger (), Mei Wang () and Thorsten Hens ()
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Marc Oliver Rieger: University of Trier, Chair of Banking and Finance
Mei Wang: WHU, Otto Beisheim School of Management, Chair of Behavioral Finance
Thorsten Hens: Swiss Finance Institute Professor at the Department of Banking and Finance of the University of Zurich

Theory and Decision, 2017, vol. 82, issue 4, No 6, 567-596

Abstract: Abstract We conduct a standardized survey on risk preferences in 53 countries worldwide and estimate cumulative prospect theory parameters from the data. The parameter estimates show that significant differences on the cross-country level are to some extent robust and related to economic and cultural differences. In particular, a closer look on probability weighting underlines gender differences, economic effects, and cultural impact on probability weighting. The data set is a useful starting point for future research that investigates the impact of risk preferences on the market level.

Keywords: Cumulative prospect theory; Prospect theory; Risk preferences; Probability weighting; Loss aversion; Cross-country comparison (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (30)

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DOI: 10.1007/s11238-016-9582-8

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