The Pricing Kernel Puzzle : Survey and Outlook

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CUESDEANU, Horatio, Jens Carsten JACKWERTH, 2018. The Pricing Kernel Puzzle : Survey and Outlook. In: Annals of Finance. 14(3), pp. 289-329. ISSN 1614-2446. eISSN 1614-2454. Available under: doi: 10.1007/s10436-017-0317-9

@article{Cuesdeanu2018-08Prici-41354.2, title={The Pricing Kernel Puzzle : Survey and Outlook}, year={2018}, doi={10.1007/s10436-017-0317-9}, number={3}, volume={14}, issn={1614-2446}, journal={Annals of Finance}, pages={289--329}, author={Cuesdeanu, Horatio and Jackwerth, Jens Carsten} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dc:language>eng</dc:language> <bibo:uri rdf:resource=""/> <dc:contributor>Jackwerth, Jens Carsten</dc:contributor> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dc:rights>terms-of-use</dc:rights> <dc:contributor>Cuesdeanu, Horatio</dc:contributor> <dcterms:isPartOf rdf:resource=""/> <dcterms:title>The Pricing Kernel Puzzle : Survey and Outlook</dcterms:title> <dc:creator>Jackwerth, Jens Carsten</dc:creator> <dcterms:issued>2018-08</dcterms:issued> <dc:creator>Cuesdeanu, Horatio</dc:creator> <dc:date rdf:datatype="">2018-09-10T12:03:16Z</dc:date> <dspace:isPartOfCollection rdf:resource=""/> <dcterms:abstract xml:lang="eng">It has been a while since the literature on the pricing kernel puzzle was summarized in Jackwerth (2004). That older survey also covered the topic of risk-neutral distributions, which was itself already surveyed in Jackwerth (1999). Much has happened in those years and estimation of risk-neutral distributions has moved from new and exciting in the last half of the 1990s to becoming a well-understood technology. Thus, the present survey will focus on the pricing kernel puzzle, which was first discussed around 2000. We document the pricing kernel puzzle in several markets and present the latest evidence concerning its (non-)existence. Econometric studies are detailed which test for the pricing kernel puzzle. The present work adds much breadth in terms of economic explanations of the puzzle. New challenges for the field are described in the process.</dcterms:abstract> <dcterms:rights rdf:resource=""/> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dcterms:available rdf:datatype="">2018-09-10T12:03:16Z</dcterms:available> </rdf:Description> </rdf:RDF>

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