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- W1978259229 abstract "Prospect theory suggests that risk seeking can occur when investors face losses and thus an S-shaped utility function can be useful in explaining investor behavior. Using stochastic dominance procedures, Post and Levy (2005) find evidence of reverse S-shaped utility functions. This is consistent with investors exhibiting risk-seeking tendencies in bull markets and risk aversion in bear markets. We use both ascending and descending stochastic dominance procedures to test for risk averse and risk seeking behavior. By partitioning iShares’ return distributions into negative and positive return regions, we find evidence of all four utility functions: concave, convex, S-shaped and reverse S-shaped." @default.
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- W1978259229 date "2009-01-01" @default.
- W1978259229 modified "2023-09-23" @default.
- W1978259229 title "Stochastic Dominance and Behavior towards Risk: The Market for iShares" @default.
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- W1978259229 doi "https://doi.org/10.2139/ssrn.1365756" @default.
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