Regret-CAPM: A Model of Regret and Asset Pricing

抄録

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.