FROM HEDGING TO SPECULATION-AN EXPLANATION BASED ON PROSPECT THEORY  

作　　者：Qingwei LIU Yi LI Shouyang WANG 

机构地区：[1]Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China School of Management, Graduate University of Chinese Academy of Sciences, Beijing 100190, China [2]School of Management, Graduate University of Chinese Academy of Sciences, Beijing 100190, China [3]Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China

出　　处：《Journal of Systems Science & Complexity》2008年第3期394-405,共12页系统科学与复杂性学报（英文版）

基　　金：This research is supported by the National Natural Science Foundation under Grant No.70221001

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 

分 类 号：F830.9[经济管理—金融学]