Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle*

被引：8
|
作者：
Grith, Maria [1 ]
Hardle, Wolfgang K. [1 ]
Kratschmer, Volker [2 ]
机构：
[1] Humboldt Univ, Berlin, Germany
[2] Univ Duisburg Essen, Duisburg, Germany
来源：
REVIEW OF FINANCE | 2017年 / 21卷 / 01期
关键词：
RISK-AVERSION; NONPARAMETRIC-ESTIMATION; OPTIMAL INVESTMENT; PROSPECT-THEORY; PERFORMANCE; PRICES; COMPENSATION; MANAGEMENT; VALUATION; OPTIONS;
D O I：
10.1093/rof/rfv062
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Supported by several recent investigations, the empirical pricing kernel (PK) puzzle might be considered as a stylized fact. Based on an economic model with reference dependent preferences for the financial investors, we emphasize a microeconomic view that explains the puzzle via state-dependent aggregate preferences. We also investigate how the shape of the PK estimated from option and stock market index returns changes in relation to the volatility risk premium.
引用
收藏
页码：269 / 298
页数：30
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