Π-CAPM: The Classical CAPM with Probability Weighting and Skewed Assets

• 成果类型: Article
• 署名作者: Driessen, Joost; Ebert, Sebastian; Koeter, Joren
• 署名单位: Tilburg University; Ruprecht Karls University Heidelberg; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhaf045
• 发表日期: 2025-12
• 页码: 3497-3541
• 关键词: G02; G11; G12; prospect-theory; cross-section; stock returns; RISK; equilibrium; skewness; prices; UNDERDIVERSIFICATION; uncertainty; volatility

摘要

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.