Popularity: A Bridge between Classical and Behavioral Finance - session with Roger G. Ibbotson
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Roger G. Ibbotson is Professor in the Practice Emeritus of Finance at Yale School of Management. He is also chairman and CIO of Zebra Capital Management, LLC, an equity investment and hedge fund manager. He is founder, advisor and former chairman of Ibbotson Associates, now a Morningstar Company.
Professor Ibbotson conducts research on a broad range of financial topics, including popularity, liquidity, investment returns, mutual funds, international markets, portfolio management, and valuation.
He received his bachelor’s degree in mathematics from Purdue University, his MBA from Indiana University, and his PhD from the University of Chicago where he taught for more than ten years and served as executive director of the Center for Research in Security Prices.
CFA will sponsor a very quick lunch after the session.
Details of the session:
Popularity: A Bridge between Classical and Behavioral Finance
- Defining “popularity,” or how much a security is liked, apart from the fundamentals: The more investors like it, the higher the price but the lower the expected return.
- A new approach to asset pricing—the popularity asset pricing model (PAPM)—builds on the CAPM but includes additional investor preferences beyond risk aversion, such as liquidity and brand preference. These specific preferences are aggregated into security prices and are not arbitraged away.
- Preferences can be rational (classical) or emotional (behavioral), so the PAPM provides a bridge between classical and behavioral finance.
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