Π-CAPM: the classical CAPM with probability weighting and skewed assets
We propose a new asset pricing model which generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model—the Π-CAPM—allows for disentangling volatility and skewness effects and predicts that idiosyncratic risk is pri...
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| Hauptverfasser: | , , |
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| Dokumenttyp: | Article (Journal) Buch/Monographie |
| Sprache: | Englisch |
| Veröffentlicht: |
Rochester, NY
Elsevier
November 22, 2022
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| DOI: | 10.2139/ssrn.3711478 |
| Online-Zugang: | Verlag, kostenfrei, Volltext: https://doi.org/10.2139/ssrn.3711478 Verlag, lizenzpflichtig, Volltext: https://papers.ssrn.com/abstract=3711478 Verlag, kostenfrei: https://ssrn.com/abstract=3711478 
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| Verfasserangaben: | Joost Driessen, Sebastian Ebert and Joren Koëter |
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| 520 | |a We propose a new asset pricing model which generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model—the Π-CAPM—allows for disentangling volatility and skewness effects and predicts that idiosyncratic risk is priced. We show that the price impact of volatility is skewness-dependent, negative for left-skewed assets but potentially positive for right-skewed assets. Further, probability weighting translates into an exaggerated co-movement of assets and can explain the empirical correlation premium. Finally, we empirically verify that option-implied variance premiums for individual stocks have a U-shaped relation to the stock’s skewness, as predicted by the Π-CAPM. | ||
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