Beschreibung:
Using Thailand stock market data, we find that prospect theory has strong predictive power for returns in the Thailand stock market. This predictive power is strengthened during crises and bear and bull markets. The loss aversion component is the main contributor to the increased predictive power during crises and bear markets. In contrast, probability weighting and convexity/concavity components contribute more to the predictive power during bull markets. The prospect theory has stronger predictive power in the Market for Alternative Investment (MAI) than in the Securities Exchange of Thailand (SET), providing evidence that individual investors prefer the mental presentation effect and evaluate risk in a way described by prospect theory