Prospect Theory and Stock Market Anomalies

The authors are grateful to John Campbell, Alex Imas, Jonathan Ingersoll, Eben Lazarus, Erik Loualiche, Ian Martin, Dimitri Vayanos, Keith Vorkink, and seminar participants at Boston College, Caltech, the London Business School, the London School of Economics, Princeton University, the University of California at Berkeley, the University of Maryland, the University of Miami, the University of Notre Dame, Washington University, Yale University, the AFA, the Miami Behavioral Finance conference, the NBER Behavioral Finance conference, and the SFS Cavalcade for very helpful comments. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

• May 14, 2020