Popularity: A Bridge between Classical and Behavioral Finance

Roger G. Ibbotson; Thomas M. Idzorek; Paul D. Kaplan; James X. Xiong

ISBN 10: 1944960600 / ISBN 13: 9781944960605

Verlag: CFA Institute Research Foundation, 2019

Pages are clean and are not marred by notes or folds of any kind. ~ ThriftBooks: Read More, Spend Less. Bestandsnummer des Verkäufers G1944960600I2N00

Inhaltsangabe:

Classical and behavioral finance are often seen as being at odds, but the idea of “popularity” has been introduced as a way of reconciling the two approaches. Investors like or dislike various characteristics of securities for rational reasons (as in classical finance) or irrational reasons (as in behavioral finance), which makes the assets popular or unpopular. In the capital markets, popular (unpopular) securities trade at prices that are higher (lower) than they would be otherwise; hence, the shares may provide lower (higher) expected returns.This book builds on this idea and expands it in two major ways. First, it introduces a rigorous asset pricing model, the popularity asset pricing model (PAPM), which adds investor preferences for security characteristics other than the risk and expected return that are part of the capital asset pricing model. A major conclusion of the PAPM is that the expected return of any security is a linear function of not only its systematic risk (beta) but also of all security characteristics that investors care about. The other major contribution of the book is new empirical work that, while confirming the well-known premiums (such as size, value, and liquidity) in a popularity context, supports the popularity hypothesis on the basis of portfolios of stocks based on such characteristics as brand value, sustainable competitive advantage, and reputation. Popularity unifies the factors that affect price in classical finance with those that drive price in behavioral finance, thus creating a unifying theory or bridge between classical and behavioral finance.

Bibliografische Details

Titel: Popularity: A Bridge between Classical and ...
Verlag: CFA Institute Research Foundation
Erscheinungsdatum: 2019
Einband: Paperback
Zustand: As New
Zustand des Schutzumschlags: No Jacket