Publikation:

The Pricing Kernel Puzzle in Forward Looking Data

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Cuesdeanu_0-377196.pdf
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2016

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http://nbn-resolving.de/urn:nbn:de:bsz:352-0-377196
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The pricing kernel puzzle concerns the locally increasing empirical pricing kernel, which is inconsistent with a risk-averse representative investor in a single period, single state variable setting. Some recent papers worry that the puzzle is caused simply by the mismatch of backward looking subjective and forward looking risk-neutral distributions of index returns. By using a novel test and forward looking information only, we generally con rm the existence of a u-shaped pricing kernel puzzle in the S&P 500 options data. The evidence is weaker for tests against an alternative with a risk-neutral investor and for longer horizons.

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330 Wirtschaft

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ISO 690CUESDEANU, Horatio, Jens JACKWERTH, 2016. The Pricing Kernel Puzzle in Forward Looking Data
BibTex
@techreport{Cuesdeanu2016Prici-36294,
  year={2016},
  title={The Pricing Kernel Puzzle in Forward Looking Data},
  author={Cuesdeanu, Horatio and Jackwerth, Jens}
}
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