Regret-CAPM: A Model of Regret and Asset Pricing

摘要：

　　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 assets 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.In equilibrium, a positive excess return is paid as a premium for regret aversion.CAPM undervalues (overvalues) assets with positive (negative) correlations to the average countfactual.

关键词： regret regret theory countfactual thinking asset pricing portfolio selection

作者: Jie Qin

作者单位: Department of Economics, Ritsumeikan University, Nojihigashi 1-1-1, Kusatsu, Shiga 525-0052, Japan

会议类型: 国际会议

会议名称: The 12th International Conference on the Regional Innovation and Cooperation in Asia ( 第12届区域合作与创新国际学术研讨会)

会议地点: 广州

会议语种:英文

页码: 47-58

在线出版日期: 2017-11-23（万方平台首次上网日期，不代表论文的发表时间）