The Pricing Kernel Puzzle : Survey and Outlook

Loading...
Thumbnail Image
Date
2018
Editors
Contact
Journal ISSN
Electronic ISSN
ISBN
Bibliographical data
Publisher
Series
DOI (citable link)
ArXiv-ID
International patent number
Link to the license
EU project number
Project
Open Access publication
Restricted until
Title in another language
Research Projects
Organizational Units
Journal Issue
Publication type
Journal article
Publication status
Published
Published in
Annals of Finance ; 14 (2018), 3. - pp. 289-329. - ISSN 1614-2446. - eISSN 1614-2454
Abstract
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.
Summary in another language
Subject (DDC)
330 Economics
Keywords
Pricing kernel puzzle, Stochastic discount factor, Options, S&P 500
Conference
Review
undefined / . - undefined, undefined. - (undefined; undefined)
Cite This
ISO 690CUESDEANU, 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
BibTex
@article{Cuesdeanu2018-08Prici-41354.2,
  year={2018},
  doi={10.1007/s10436-017-0317-9},
  title={The Pricing Kernel Puzzle : Survey and Outlook},
  number={3},
  volume={14},
  issn={1614-2446},
  journal={Annals of Finance},
  pages={289--329},
  author={Cuesdeanu, Horatio and Jackwerth, Jens Carsten}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/41354.2">
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/41354.2/1/Cuesdeanu_2-zjiaa35xt307.pdf"/>
    <dc:creator>Cuesdeanu, Horatio</dc:creator>
    <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/41354.2"/>
    <dc:contributor>Cuesdeanu, Horatio</dc:contributor>
    <dcterms:title>The Pricing Kernel Puzzle : Survey and Outlook</dcterms:title>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2018-09-10T12:03:16Z</dc:date>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2018-09-10T12:03:16Z</dcterms:available>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/41354.2/1/Cuesdeanu_2-zjiaa35xt307.pdf"/>
    <dc:language>eng</dc:language>
    <dc:rights>terms-of-use</dc:rights>
    <dc:creator>Jackwerth, Jens Carsten</dc:creator>
    <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>
    <dc:contributor>Jackwerth, Jens Carsten</dc:contributor>
    <dcterms:issued>2018-08</dcterms:issued>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
  </rdf:Description>
</rdf:RDF>
Internal note
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Contact
URL of original publication
Test date of URL
Examination date of dissertation
Method of financing
Comment on publication
Alliance license
Corresponding Authors der Uni Konstanz vorhanden
International Co-Authors
Bibliography of Konstanz
Yes
Refereed
Unknown

Version History

Now showing 1 - 2 of 2
VersionDateSummary
2*
2018-09-10 12:00:21
2018-02-14 13:13:23
* Selected version