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The Popularity Asset Pricing Model
Sep 24, 2020 12:00 pm – 1:30 pm
|The Popularity Asset Pricing Model
The Popularity Asset Pricing Model (PAPM) builds on the familiar Capital Asset Pricing Model (CAPM) but relaxes key CAPM assumptions. In the PAPM, investors do not have to be rational, can have risk and non-risk preferences, and have heterogeneous expectations about security returns. By incorporating multiple investor preferences and allowing for diverse investor forecasts, the PAPM takes two major steps towards asset pricing in the real world. The PAPM is nevertheless simple and intuitive, serving as a general umbrella model encompassing not only the CAPM as a special case, but also many other classical and behavioral asset pricing models.
Roger G. Ibbotson, PhD
Roger G. Ibbotson is a 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. He has written numerous books and articles including Stocks
Bonds Bills and Inflation with Rex Sinquefield (updated annually) which serves as a
standard reference for information and capital market returns.
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 has recently published The Equity Risk Premium and
Lifetime Financial Advice. He has also co-authored two books with Gary Brinson, Global
Investing and Investment Markets. He is a regular contributor and editorial board member to
both trade and academic journals.
Professor Ibbotson serves on numerous boards including Dimensional Fund Advisorsı
funds. He frequently speaks at universities, conferences, and other forums. He received his
bachelorıs 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.