Estimating cumulative prospect theory parameters from an international survey |
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| Authors: | Marc Oliver Rieger Mei Wang Thorsten Hens |
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| Institution: | 1.University of Trier, Chair of Banking and Finance,Trier,Germany;2.WHU, Otto Beisheim School of Management, Chair of Behavioral Finance,Vallendar,Germany;3.Swiss Finance Institute Professor at the Department of Banking and Finance of the University of Zurich,Zurich,Switzerland;4.NHH,Bergen,Norway |
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| 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. |
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