Beta and Coskewness Pricing: Perspective from Probability Weighting

The authors are grateful to Jianjun Gao, Duan Li, Wei Li, Jianming Xia, Jinming Xie, Jing Yao, Shushang Zhu, the area editor, an anonymous associate editor, and three anonymous reviewers for their detailed and constructive comments, which have led to a much-improved version of the paper. The authors also thank seminar and conference participants at the 2018 INFORMS International Conference, Eighth Annual Conference of Financial Engineering and Financial Risk Management Branch of China Operation Research Society, 2018 Annual Conference of Society for Management Science and Engineering of China, Workshop on Finance, Insurance, Probability and Statistics (2019), East China Normal University, and Shanghai Jiaotong University for their comments. The authors make equal contributions to this paper.