Π-CAPM: the classical CAPM with probability weighting and skewed assets
We propose a new asset pricing model that generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model — the Pi-CAPM — generates several new predictions: (i) skewness has a positive price effect, amplified by volati...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Dokumenttyp: | Article (Journal) |
| Sprache: | Englisch |
| Veröffentlicht: |
December 2025
|
| In: |
The review of financial studies
Year: 2025, Jahrgang: 38, Heft: 12, Pages: 3497-3541 |
| ISSN: | 1465-7368 |
| DOI: | 10.1093/rfs/hhaf045 |
| Online-Zugang: | Verlag, kostenfrei, Volltext: https://doi.org/10.1093/rfs/hhaf045
|
| Verfasserangaben: | Joost Driessen, Sebastian Ebert, Joren Koëter |
MARC
| LEADER | 00000naa a2200000 c 4500 | ||
|---|---|---|---|
| 001 | 1948546558 | ||
| 003 | DE-627 | ||
| 005 | 20260113095348.0 | ||
| 007 | cr uuu---uuuuu | ||
| 008 | 260113s2025 xx |||||o 00| ||eng c | ||
| 024 | 7 | |a 10.1093/rfs/hhaf045 |2 doi | |
| 035 | |a (DE-627)1948546558 | ||
| 035 | |a (DE-599)KXP1948546558 | ||
| 040 | |a DE-627 |b ger |c DE-627 |e rda | ||
| 041 | |a eng | ||
| 084 | |a 17 |2 sdnb | ||
| 100 | 1 | |a Driessen, Joost |d 1974- |e VerfasserIn |0 (DE-588)129192546 |0 (DE-627)390700541 |0 (DE-576)297533053 |4 aut | |
| 245 | 1 | 0 | |a Π-CAPM |b the classical CAPM with probability weighting and skewed assets |c Joost Driessen, Sebastian Ebert, Joren Koëter |
| 246 | 3 | 3 | |a Pi-CAPM |
| 264 | 1 | |c December 2025 | |
| 300 | |b Diagramme | ||
| 300 | |a 45 | ||
| 336 | |a Text |b txt |2 rdacontent | ||
| 337 | |a Computermedien |b c |2 rdamedia | ||
| 338 | |a Online-Ressource |b cr |2 rdacarrier | ||
| 500 | |a Online veröffentlicht am 14.07.2025 | ||
| 500 | |a Gesehen am 13.01.2026 | ||
| 520 | |a We propose a new asset pricing model that generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model — the Pi-CAPM — generates several new predictions: (i) skewness has a positive price effect, amplified by volatility; (ii) the price effect of volatility is negative for left-skewed assets but positive for right-skewed assets; and (iii) option-implied variance premiums for stocks have a U-shaped relation to skewness, amplified by volatility. We find strong empirical support for these predictions. Finally, we show that the Pi-CAPM predicts an exaggerated co-movement of assets and can explain the correlation premium. | ||
| 700 | 1 | |a Ebert, Sebastian |d 1982- |e VerfasserIn |0 (DE-588)1012218635 |0 (DE-627)660766450 |0 (DE-576)345125584 |4 aut | |
| 700 | 1 | |a Koëter, Joren |e VerfasserIn |0 (DE-588)1283871602 |0 (DE-627)183957156X |4 aut | |
| 773 | 0 | 8 | |i Enthalten in |t The review of financial studies |d Oxford : Oxford University Press, 1988 |g 38(2025), 12 vom: Dez., Seite 3497-3541 |h Online-Ressource |w (DE-627)266876978 |w (DE-600)1467494-4 |w (DE-576)075145049 |x 1465-7368 |7 nnas |a Π-CAPM the classical CAPM with probability weighting and skewed assets |
| 773 | 1 | 8 | |g volume:38 |g year:2025 |g number:12 |g month:12 |g pages:3497-3541 |g extent:45 |a Π-CAPM the classical CAPM with probability weighting and skewed assets |
| 856 | 4 | 0 | |u https://doi.org/10.1093/rfs/hhaf045 |x Verlag |x Resolving-System |z kostenfrei |3 Volltext |7 0 |
| 951 | |a AR | ||
| 992 | |a 20260113 | ||
| 993 | |a Article | ||
| 994 | |a 2025 | ||
| 998 | |g 1012218635 |a Ebert, Sebastian |m 1012218635:Ebert, Sebastian |d 180000 |d 181000 |e 180000PE1012218635 |e 181000PE1012218635 |k 0/180000/ |k 1/180000/181000/ |p 2 | ||
| 999 | |a KXP-PPN1948546558 |e 484579439X | ||
| BIB | |a Y | ||
| SER | |a journal | ||
| JSO | |a {"title":[{"subtitle":"the classical CAPM with probability weighting and skewed assets","title":"Π-CAPM","title_sort":"Π-CAPM"}],"name":{"displayForm":["Joost Driessen, Sebastian Ebert, Joren Koëter"]},"titleAlt":[{"title":"Pi-CAPM"}],"type":{"media":"Online-Ressource","bibl":"article-journal"},"language":["eng"],"recId":"1948546558","physDesc":[{"extent":"45 S.","noteIll":"Diagramme"}],"person":[{"family":"Driessen","given":"Joost","display":"Driessen, Joost","roleDisplay":"VerfasserIn","role":"aut"},{"family":"Ebert","given":"Sebastian","display":"Ebert, Sebastian","role":"aut","roleDisplay":"VerfasserIn"},{"display":"Koëter, Joren","roleDisplay":"VerfasserIn","role":"aut","given":"Joren","family":"Koëter"}],"note":["Online veröffentlicht am 14.07.2025","Gesehen am 13.01.2026"],"origin":[{"dateIssuedKey":"2025","dateIssuedDisp":"December 2025"}],"id":{"doi":["10.1093/rfs/hhaf045"],"eki":["1948546558"]},"relHost":[{"title":[{"title":"The review of financial studies","title_sort":"review of financial studies"}],"name":{"displayForm":["published on behalf of The Society for Financial Studies"]},"type":{"bibl":"periodical","media":"Online-Ressource"},"pubHistory":["1.1988 -"],"disp":"Π-CAPM the classical CAPM with probability weighting and skewed assetsThe review of financial studies","physDesc":[{"extent":"Online-Ressource"}],"recId":"266876978","language":["eng"],"id":{"eki":["266876978"],"issn":["1465-7368"],"zdb":["1467494-4"]},"origin":[{"publisherPlace":"Oxford ; New York, NY","publisher":"Oxford University Press ; Oxford Univ. Press","dateIssuedKey":"1988","dateIssuedDisp":"1988-"}],"part":{"volume":"38","pages":"3497-3541","text":"38(2025), 12 vom: Dez., Seite 3497-3541","issue":"12","year":"2025","extent":"45"}}]} | ||
| SRT | |a DRIESSENJOCAPM2025 | ||