جستجوی مقالات مرتبط با کلیدواژه « Cumulative Prospect Theory » در نشریات گروه « علوم انسانی »

The purpose of this research is to evaluate the investment methods and compare between the behavioral model and conventional rational models in choosing the optimal portfolio using cumulative perspective theory because the behavior of the stock market does not follow a linear pattern, for this reason, the methods A common line cannot be used to describe this behavior and be useful. Considering that choosing a portfolio is a difficult task according to different criteria and goals, in this research, an attempt was made to provide a solution for this problem by using cumulative perspective theory and the usefulness of the mentioned technique in choosing the best portfolio according to several Different criteria should be tested. The analyzed statistical sample is for 31 active companies in the period from the beginning of April 2015 to March 2014. The results of using cumulative perspective theory based on elliptic two-point distribution show that using this method over time and using more training data leads to the creation of a portfolio with better performance and a high standard. Also, the total portfolio, which is obtained by using the monthly average of the total stocks, has a favorable trainer criterion, which indicates better portfolio performance and creation of an optimal portfolio.

Among decision theories under risk and uncertainty, cumulative prospect theory has become very popular, which is evident in its more than 50,000 citations. In applied studies or for scenario making and explaining many phenomena many researchers use the initial parameters estimated by Kahnemann and Torsky (1979). Given the impact of environment and culture on risky behavior and parameters of prospect theory, the present paper elicits the utility and probability weighting functions in both gain and loss domains and estimates parameters of their functional forms. By estimating all parameters of cumulative prospect theory, this paper tries to provide an integrated picture of people's attitude towards risk from an Iranian sample. In addition, the superiority of this theory over expected utility is indirectly tested. Findings confirm many predictions of cumulative prospect theory such as the fourfold pattern of risk attitude and concavity of value function over gains and its convexity over losses. The findings of this experiment show the superiority of cumulative prospect theory over expected utility theory. The findings show that people's perceptions of probabilities are not linear and their degree of risk aversion depends on probabilities. More specifically, most subjects behaved according to the pattern of reducing risk aversion by increasing the probability of loss and increasing risk aversion by increasing the probability of gain. These findings are consistent with the fourfold pattern of risk attitude and indicate that the behavior of the sample is not different from previous samples.

The purpose of this study is to answer the question of whether the four management attitudes toward risk, which is related to the Cumulative Prospect Theory, is effective in the occurrence of fraudulent financial reporting or not.

To determine the role of cumulative perspective theory in the occurrence of fraudulent financial reporting, two hypotheses were tested and for this purpose, the annual data of 127 companies listed on the Tehran Stock Exchange during the period 2009 to 2018 were analyzed through ranked logistic regression analysis.

The findings of this study confirm the first and second hypotheses of the research on the effect of management's attitude towards risk in the occurrence of fraudulent financial reporting. Overall, the findings of this study show that fraudulent financial reporting follows four patterns of risk attitude, in other words, when the probability of reference profit or the probability of reference loss is high, the probability of fraudulent financial reporting increases, but if the probability of reference profit is high or The lower the probability of reference losses, the lower the likelihood of fraudulent financial reporting.

If the probability of change in profit or loss is small, the manager's attitude towards risk can change direction. In other words, if the probability of profitability increases, the manager reduces his risk-taking slightly instead of changing his attitude from risk-taking to risk-aversion. Therefore, it can be argued that the likelihood of fraudulent financial reporting can change "without changing the manager's attitude towards risk" (from risk-taking to risk-aversion)

Prospect theory explains how individuals’ feelings and preferences influence their decision-making. The purpose of this research was to investigate earnings manipulation incentives within companies listed in Tehran Stock Exchange using fourfold pattern of risk attitudes provided by the cumulative prospect theory. The period of this research was 6 years, from 2013 to 2018 and included 695 observations. Hypothesis testing using logistic regression, with the average competitor performance within the industry as the reference point, revealed a significant positive (vs. negative) effect of management’s loss (vs. gain) estimates relative to the reference point on earnings manipulation. In other words, when management’s estimate of the likelihood of loss relative to the reference point is high (vs. low), the likelihood of earnings manipulation increases (vs. decreases). Furthermore, when management’s estimate of the likelihood of gain relative to the reference point is low (vs. high), the likelihood of earnings manipulation increases (vs. decreases). The findings of research also provided evidence for loss-aversion among managers. Therefore, the evidence suggests that the cumulative prospect theory can be utilized to explain managerial incentives for earnings manipulation.

Fraudulent reporting means intentional providence of false and misleading reports. Paragraph 7 of Iranian Accounting Standard No. 1 considers the board of directors as responsible for financial statements providence, however, managers may provide the firm's reports including the report of the board of directors, with fraudulent incentives. One of the theories explaining the managerial decision-making methods based on their personality traits (risk taking and risk aversion) is the Cumulative Prospect Theory (CPT). Based on this theory, fraud incentives will be formed in managers' mind when they feel their performance will go away from the reference point they have already created in their minds. This study determines an index with more than 90% accuracy for assessing and detecting the risk of fraud in the board's report, focusing the report text and using two data mining methods including decision tree and machine learning methods. Then, the index is used to examine whether the manager incentives for using high fraud risk reporting methods follow the pattern presented in cumulative prospect theory. The results indicate that managers' fraud incentives in Iran are not consistent with CPT.

This research aims to investigate relationship between skewness and future stock return and the impact of information releases on this relationship. Then, the data of 89 companies listed in Tehran Stock Exchange are collected and analyzed for 2009 to 2013. Furthermore, the fixed effect panel data method is used to examine the hypothesis. The results show that there exists a negative and significant relationship between skewness and future stock return. Moreover, the earnings announcements have high impact on the relationship between skewness and stock return. Hence, skewness is negatively related to stock return when there are no earnings announcements, while this relationship loses its significance when there are such information releases.