Beta and Coskewness Pricing: Perspective from Probability Weighting
从概率加权这一行为金融学视角，提出包含概率加权的CAPM理论模型，并通过实证研究解释贝塔异象（即市场风险与预期收益关系平坦甚至向下倾斜的谜题）。
Does Subjective Evaluation of Probability Impact Asset Prices? The Nobel Prize–winning capital asset pricing model (CAPM) predicts that expected excess return of any asset is positively proportional to its exposure to the overall market: the beta, leading to an upward-sloping security market line. However, this prediction is contradicted by empirical studies that the return–beta slope is often flat or even downward-sloping, a puzzle called the “beta anomaly.” The CAPM is premised upon the notion that market participants are all rational, including that they are able to objectively evaluate probabilities. However, evidence abounds that individuals are often unable to do so, examples being purchase of lottery tickets and insurance products, in which the extremely small probabilities of winning or losing big are exaggerated. This phenomenon of distorting probabilities at both tails is called “probability weighting” (PW), which is a key component of modern behavioral finance. The paper “Beta and Coskewness Pricing: Perspective from Probability Weighting” approaches the beta anomaly through PW. It offers an explanation of the beta anomaly via a new theoretical CAPM involving PW and an extensive empirical study.