The Pricing Kernel Puzzle in Forward Looking Data

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CUESDEANU, Horatio, Jens Carsten JACKWERTH, 2018. The Pricing Kernel Puzzle in Forward Looking Data. In: Review of Derivatives Research. ISSN 1380-6645. eISSN 1573-7144. Available under: doi: 10.1007/s11147-017-9140-8

@article{Cuesdeanu2018Prici-41355, title={The Pricing Kernel Puzzle in Forward Looking Data}, year={2018}, doi={10.1007/s11147-017-9140-8}, issn={1380-6645}, journal={Review of Derivatives Research}, author={Cuesdeanu, Horatio and Jackwerth, Jens Carsten} }

eng 2018-02-14T13:23:10Z Cuesdeanu, Horatio The Pricing Kernel Puzzle in Forward Looking Data Cuesdeanu, Horatio Jackwerth, Jens Carsten Jackwerth, Jens Carsten 2018 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. 2018-02-14T13:23:10Z terms-of-use

Dateiabrufe seit 14.02.2018 (Informationen über die Zugriffsstatistik)

2017-11-06 The Pricing Kernel Puzzle in Forward Looking Data.pdf 28

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