The Popularity Asset Pricing Model

40 Pages Posted: 19 Sep 2019 Last revised: 26 Oct 2021

See all articles by Thomas M. Idzorek

Thomas M. Idzorek

Morningstar Investment Management

Paul D. Kaplan

Morningstar Canada

Roger G. Ibbotson

Yale School of Management; Zebra Capital Management, LLC

Date Written: October 25, 2021


Fama and French identify ‘disagreement’ and ‘tastes’ as impacting asset prices in an equilibrium Capital Asset Pricing Model (CAPM) framework, stopping short of an actual model. The Arbitrage Pricing Theory (APT) of Ross posits a linear multi-factor structure of returns priced through arbitrage. The Popularity Asset Pricing Model (PAPM) generalizes the CAPM in a linear equilibrium structure allowing for disagreement and tastes. The PAPM subsumes the CAPM and a range of newer ESG-specific models as special cases. In the PAPM, investors have divergent beliefs about expected returns, and a variety of risk and non-risk preferences, such as liquidity or ESG.

Keywords: popularity, asset pricing theory, CAPM, heterogeneous expectations/ disagreement, preferences / tastes, behavioral finance

JEL Classification: D62, G11, G12, G14, G23, G34, G4, M14, Q01, Q5

Suggested Citation

Idzorek, Thomas and Kaplan, Paul D. and Ibbotson, Roger G., The Popularity Asset Pricing Model (October 25, 2021). Available at SSRN: or

Thomas Idzorek (Contact Author)

Morningstar Investment Management ( email )

22 W Washington Street
Chicago, IL 60602
United States

Paul D. Kaplan

Morningstar Canada ( email )

1 Toronto Street
Suite 500
Toronto, Ontario M5C 2W4

Roger G. Ibbotson

Yale School of Management ( email )

165 Whitney Avenue
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-6021 (Phone)
203-432-6970 (Fax)

Zebra Capital Management, LLC ( email )

2187 Atlantic Street
Stamford, CT 06902
United States
203 701 5900 (Phone)

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