行動経済学
Online ISSN : 2185-3568
ISSN-L : 2185-3568
第11回大会プロシーディングス
Regret-CAPM: A Model of Regret and Asset Pricing
Jie Qin
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2017 年 10 巻 Special_issue 号 p. S1-S4

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This paper examines the effect of regret on asset pricing in a model where each individual compares the return on his chosen portfolio with a countfactual, the return on an unchosen portfolio. We derived a single beta asset pricing formula where an asset's expected rate of return is increasing to its beta with respect to the difference between the market average return and the market-wide average countfactual.

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© 2017 Association of Behavioral Economics and Finance
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