Publikation:

The Pricing Kernel Puzzle in Forward Looking Data

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2018

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http://nbn-resolving.de/urn:nbn:de:bsz:352-2-11k3n4zxe7ti61
DOI (zitierfähiger Link)
https://doi.org/10.1007/s11147-017-9140-8
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Published

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Review of Derivatives Research. 2018, 21(3), pp. 253-276. ISSN 1380-6645. eISSN 1573-7144. Available under: doi: 10.1007/s11147-017-9140-8

Zusammenfassung

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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Fachgebiet (DDC)
330 Wirtschaft

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Pricing kernel, Option pricing, Forward looking data

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ISO 690CUESDEANU, Horatio, Jens JACKWERTH, 2018. The Pricing Kernel Puzzle in Forward Looking Data. In: Review of Derivatives Research. 2018, 21(3), pp. 253-276. ISSN 1380-6645. eISSN 1573-7144. Available under: doi: 10.1007/s11147-017-9140-8
BibTex
@article{Cuesdeanu2018-10Prici-41355.2,
  year={2018},
  doi={10.1007/s11147-017-9140-8},
  title={The Pricing Kernel Puzzle in Forward Looking Data},
  number={3},
  volume={21},
  issn={1380-6645},
  journal={Review of Derivatives Research},
  pages={253--276},
  author={Cuesdeanu, Horatio and Jackwerth, Jens}
}
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