Modeling nonlinear in Bowman's paradox: the case of Pakistan
- Author(s)
- Robert Kunst, Farrukh Mahmood
- Abstract
Prospect theory frequently explains the empirical results of Bowman's paradox (negative relationship between risk and return). However, the empirical econometric model of these researches is misspecified. This study used a data-driven approach to improve the econometric model. Empirical results based on the improved econometric model are also reinforced by data visualization to be illustrated in depth. For this purpose, we used the data of 622 listed firms on the Pakistan Stock Exchange from 2000 to 2019. Our results contradict the literature on prospect theory based on the improved econometric model.
- Organisation(s)
- Department of Economics
- External organisation(s)
- IHS - Institut für Höhere Studien und wissenschaftliche Forschung, University of the Punjab
- Journal
- Empirical Economics
- Volume
- 64
- Pages
- 2357-2372
- No. of pages
- 16
- ISSN
- 0377-7332
- DOI
- https://doi.org/10.1007/S00181-022-02308-3
- Publication date
- 2023
- Peer reviewed
- Yes
- Austrian Fields of Science 2012
- 502025 Econometrics, 502009 Corporate finance
- Keywords
- ASJC Scopus subject areas
- Statistics and Probability, Mathematics (miscellaneous), Social Sciences (miscellaneous), Economics and Econometrics
- Portal url
- https://ucrisportal.univie.ac.at/en/publications/8ec4a666-ed1f-4060-a9af-0c8192551b57