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崔翔宇:Beta and Coskewness Pricing: Perspective from Probability Weighting
2022-06-08 15:31  

题 目:Beta and Coskewness Pricing: Perspective from Probability Weighting

主讲人:崔翔宇 副教授

时 间:2022613日(星期一)9:00--11:00

地 点:腾讯会议 会议号:211 125 311

内 容:The security market line is often flat or downward-sloping. We hypothesize that probability weighting plays a role and that one ought to differentiate between periods in which agents overweight extreme events and those in which they underweight them.  Overweighting inflates the probability of extremely bad events and demands greater compensation for beta risk, whereas underweighting does the opposite.  Unconditional on probability weighting, these two effects offset each other, resulting in a flat or slightly negative return-beta relationship. Similarly, overweighting the tails enhances the negative relationship between return and coskewness, while underweighting reduces it. We derive a three-moment conditional CAPM model for a market with rank-dependent utility agents to make these predictions, and we support our theory through an extensive empirical study.

报告人简介:崔翔宇,中国科学技术大学学士,硕士,香港中文大学博士。现为上海财经大学统计与管理学院,常任教职副教授(已获得终身教职),研究员,博导。管理科学与工程学会金融计量和风险管理研究会秘书长,中国管理现代化研究会管理与决策科学专业委员会理事。主要研究领域包括行为金融,数量金融,风险管理,在《Operations Research》,《Journal of Econometrics》,《Mathematical Finance》,《Journal of Economic Dynamics & Control》等国际著名SSCI/SCI期刊发表论文20篇。

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