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π-CAPM: the classical CAPM with probability weighting and skewed assets

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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...

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Main Authors: Driessen, Joost (Author) , Ebert, Sebastian (Author) , Koëter, Joren (Author)
Format: Article (Journal)
Language:English
Published: 2025
In: The review of financial studies
Year: 2025, Volume: 38, Issue: 12, Pages: 3497-3541
ISSN:1465-7368
DOI:10.1093/rfs/hhaf045
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Online Access:Verlag, kostenfrei: https://academic.oup.com/rfs/article-pdf/38/12/3497/63752943/hhaf045.pdf
Verlag, kostenfrei, Volltext: https://doi.org/10.1093/rfs/hhaf045
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Author Notes:Joost Driessen, Sebastian Ebert, Joren Koëter
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Π-CAPM: the classical CAPM with probability weighting and skewed assets by Driessen, Joost (Author) , Ebert, Sebastian (Author) , Koëter, Joren (Author) ,

Elsevier November 22, 2022

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