拉斯维加斯9888

标题：A behavioral asset pricing model with social responsibility factors

汇报人：Meir Statman（Santa Clara University）

功夫：May 21,2013(Tuesday）AM10:00---11:30

地址:Room 217, Guanghua Building #2

Abstract：

We construct a behavioral asset pricing model that adds two social responsibility factors to the four-factor asset pricing model. The TMB factor reflects ratings by employee relations and similar criteria. The AMS factor reflects operations in tobacco and similar shunned activities. The model moves us closer to a comprehensive asset pricing model that accounts for preferences beyond risk preferences. We use the model to analyze the performance of mutual funds and indexes and classify mutual funds as conventional or socially responsible.