Beta and Coskewness Pricing : Perspective from Probability Weighting | PERPUSTAKAAN UNIVERSITAS KATOLIK PARAHYANGAN

Text

Beta and Coskewness Pricing : Perspective from Probability Weighting

Shi, Yun - Nama Orang; Cui, Xiangyu - Nama Orang; Zhou, Xun Yu - Nama Orang;

The security market line is often flat or downward-sloping. We hypothesize that probability weighting plays a role and one ought to differentiate between periods in which agents overweight extreme events and those in which they underweight them. Overweighting inflates the probability of extremely bad events and demands greater compensation for beta risk, whereas underweighting does the opposite. Unconditional on probability weighting, these two effects offset each other, resulting in a flat or slightly negative return–beta relationship. Similarly, overweighting the tails enhances the negative relationship between return and coskewness, whereas underweighting reduces it. We derive a three-moment conditional capital asset pricing model for a market with rank-dependent utility agents to make these predictions, and we support our theory through an extensive empirical study.

Ketersediaan

Barcode		Tipe Koleksi	Nomor Panggil	Lokasi	Status
art146063	null	Artikel		Gdg9-Lt3	Tersedia namun tidak untuk dipinjamkan - No Loan

Informasi Detail

Judul Seri: OPERATIONS RESEARCH; Vol.71 No.2 March-April 2023
No. Panggil: -
Penerbit: : .,
Deskripsi Fisik: p. 776-790
Bahasa: English
ISBN/ISSN: -
Klasifikasi: NONE
Tipe Isi: -
Tipe Media: -
Tipe Pembawa: -
Edisi: -
Subjek: BEHAVIORAL FINANCE
ASSET PRICING
PROBABILITY WEIGHTING
RANK-DEPENDENT UTILITY
BETA ANOMALY
Info Detail Spesifik: https://doi.org/10.1287/opre.2022.2421
Pernyataan Tanggungjawab: Yun Shi, Xiangyu Cui, Xun Yu Zhou

Versi lain/terkait

Tidak tersedia versi lain

Lampiran Berkas

Tidak Ada Data

Komentar

Anda harus masuk sebelum memberikan komentar