Expectile CAPM
© 2019 Elsevier B.V. Conventional wisdom suggests that the uncertainty of uninformed noise-traders’ sentiment deters rational traders’ arbitrage activities. However, nowadays, social media have made the public sentiment highly predictable, whereas the CAPM-motivated beta-return relation still does n...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
2019
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| Online Access: | http://hdl.handle.net/20.500.11937/76965 |
| _version_ | 1848763793646026752 |
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| author | Hu, Wei Zheng, Z. |
| author_facet | Hu, Wei Zheng, Z. |
| author_sort | Hu, Wei |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | © 2019 Elsevier B.V. Conventional wisdom suggests that the uncertainty of uninformed noise-traders’ sentiment deters rational traders’ arbitrage activities. However, nowadays, social media have made the public sentiment highly predictable, whereas the CAPM-motivated beta-return relation still does not hold in practice. This study advances an argument that the sentiment can also be brought about by rational, sophisticated investors’ use of psychological insight; resultantly, the arbitrage activities are demotivated by their own sentiment, rather than deterred by noise-traders’ sentiment risk. The proposed expectile CAPM provides a parsimonious way to account for this claim, and leads to a sentiment-based functional form of pricing kernel. |
| first_indexed | 2025-11-14T11:09:07Z |
| format | Journal Article |
| id | curtin-20.500.11937-76965 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:09:07Z |
| publishDate | 2019 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-769652019-11-19T01:19:54Z Expectile CAPM Hu, Wei Zheng, Z. © 2019 Elsevier B.V. Conventional wisdom suggests that the uncertainty of uninformed noise-traders’ sentiment deters rational traders’ arbitrage activities. However, nowadays, social media have made the public sentiment highly predictable, whereas the CAPM-motivated beta-return relation still does not hold in practice. This study advances an argument that the sentiment can also be brought about by rational, sophisticated investors’ use of psychological insight; resultantly, the arbitrage activities are demotivated by their own sentiment, rather than deterred by noise-traders’ sentiment risk. The proposed expectile CAPM provides a parsimonious way to account for this claim, and leads to a sentiment-based functional form of pricing kernel. 2019 Journal Article http://hdl.handle.net/20.500.11937/76965 10.1016/j.econmod.2019.09.049 restricted |
| spellingShingle | Hu, Wei Zheng, Z. Expectile CAPM |
| title | Expectile CAPM |
| title_full | Expectile CAPM |
| title_fullStr | Expectile CAPM |
| title_full_unstemmed | Expectile CAPM |
| title_short | Expectile CAPM |
| title_sort | expectile capm |
| url | http://hdl.handle.net/20.500.11937/76965 |