Joren Koëter
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Π-CAPM: The Classical CAPM with Probability Weighting and Skewed Assets Open
We propose a new asset pricing model that generalizes the mean-variance framework by including probability weighting, specifically the overweighting of rare, high-impact events. Our model—the $ \Pi $-CAPM—generates several new predictions:…
Horizon Effects in the Pricing Kernel: How Investors Price Short-Term Versus Long-Term Risks Open
We show that investors price short-term stock market outcomes very different from outcomes that occur further into the future. To this end, we introduce the expected forward pricing kernel and decompose long-term pricing kernels into short…
Essays on asset pricing, investor preferences, and derivative markets Open
This dissertation is a collection of three independent chapters that aim to better understand asset pricing models and investor preferences. In sum, this dissertation has three main findings. First, leading asset pricing models fail to cap…