Seminar 217, Risk Management: A Popularity Asset Pricing Model

Risk Seminar
Feb 21, 2017 11:00am to 1:00pm
639 Evans Hall
Happening As Scheduled
Abstract: This paper presents a formal model for theory of popularity as laid out informally by Idzorek and Ibbotson in their seminal paper, “Dimensions of Popularity (Journal of Portfolio Management, 2014). The paper does this by extending the capital asset pricing model (CAPM) to include security characteristics that different investors regard differently. This leads to an equilibrium in...
Speaker: Paul Kaplan, Morningstar (Speaker - Featured)