Seminar 217, Risk Management: A Popularity Asset Pricing Model

Seminar 217, Risk Management: A Popularity Asset Pricing Model

Risk Seminar
Feb 21, 2017, 11:00 AM - 01:00 PM | 639 Evans Hall | Happening As Scheduled
Speaker: Paul Kaplan, Morningstar (Speaker - Featured)
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...