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dc.contributor.authorHu, Wei
dc.contributor.authorZheng, Z.
dc.identifier.citationHu, W. and Zheng, Z. 2019. Expectile CAPM. Economic Modelling.

© 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.

dc.titleExpectile CAPM
dc.typeJournal Article
dcterms.source.titleEconomic Modelling
curtin.departmentSchool of Economics, Finance and Property
curtin.accessStatusFulltext not available
curtin.facultyFaculty of Business and Law
curtin.contributor.orcidHu, Wei [0000-0001-9798-6555]
curtin.contributor.scopusauthoridHu, Wei [56559082300]

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