Based on the cumulative prospect theory, this paper introduces the cumulative probability weighting function to describe the influence of subjective factors upon the objective distribution of returns, and establishes a new model of the distribution of subjective return. On the basis of the new model, we take the aggregative index of 10 typical stocks around the world as samples to empirically study the characteristics of the distribution of returns and the form of the probability weight function at the level of the market. The results show that...
