说明:Kahneman, D. , & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. In Econometrica, XVLII (pp. 263–291) . <qq_18822147> 在 上传 | 大小:618496
说明:stocks with high tail risk (downside loss risk) can earn higher returns than stocks with low tail risk (see e.g. Ang, Chen, & Xing, 2006; Kelly & Jiang, 2014 ). <qq_18822147> 在 上传 | 大小:569344