From hedging to speculation - An explanation based on prospect theory

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	From hedging to speculation - An explanation based on prospect theory
	Liu, Qingwei 1,2; Li, Yi 2; Wang, Shouyang1
	2008-09-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	21 期号:3 页码:394-405
摘要	This paper studies the impact of the reference point on a hedger's decision based upon prospect theory and experimental evidence on how prior outcomes affect risky choice. The authors show that in the futures market; a hedger who does not adjust his reference point timely would increase his positions continually as his accumulated losses increase, and finally become a speculator. Numerical simulation results under the normal distribution also lend support to the results. The model can help explain why the hedging behavior of firms turns into speculative activities and can offer some new insights into hedging behavior.
关键词	hedging loss aversion prospect theory reference point
语种	英语
资助项目	National Natural Science Foundation[70221001]
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000259101600006
出版者	SPRINGER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/6587
专题	系统科学研究所
通讯作者	Liu, Qingwei
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100190, Peoples R China 2.Chinese Acad Sci, Grad Univ, Sch Management, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Liu, Qingwei,Li, Yi,Wang, Shouyang. From hedging to speculation - An explanation based on prospect theory[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2008,21(3):394-405.
APA	Liu, Qingwei,Li, Yi,&Wang, Shouyang.(2008).From hedging to speculation - An explanation based on prospect theory.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,21(3),394-405.
MLA	Liu, Qingwei,et al."From hedging to speculation - An explanation based on prospect theory".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 21.3(2008):394-405.