The pricing kernel puzzle in forward looking data

IF 0.7 4区经济学 Q4 BUSINESS, FINANCE

Review of Derivatives Research Pub Date : 2016-08-19 DOI:10.2139/ssrn.2742225

Horatio Cuesdeanu, J. Jackwerth

引用次数: 33

Abstract

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 confirm 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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前瞻性数据中的定价核心难题

定价核难题涉及局部递增的经验定价核，它与单时期、单状态变量设置下的风险厌恶型代表投资者不一致。最近的一些论文担心，这个谜题仅仅是由向后看的主观和向前看的风险中性指数回报分布不匹配造成的。通过使用一个新颖的测试和前瞻性的信息，我们一般确认u型定价核谜的标准普尔500指数期权数据的存在。对风险中性投资者和长线投资者的替代方案进行测试的证据较弱。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Derivatives Research Multiple-

CiteScore

1.40

自引率

0.00%

发文量

期刊介绍： The proliferation of derivative assets during the past two decades is unprecedented. With this growth in derivatives comes the need for financial institutions, institutional investors, and corporations to use sophisticated quantitative techniques to take full advantage of the spectrum of these new financial instruments. Academic research has significantly contributed to our understanding of derivative assets and markets. The growth of derivative asset markets has been accompanied by a commensurate growth in the volume of scientific research. The Review of Derivatives Research provides an international forum for researchers involved in the general areas of derivative assets. The Review publishes high-quality articles dealing with the pricing and hedging of derivative assets on any underlying asset (commodity, interest rate, currency, equity, real estate, traded or non-traded, etc.). Specific topics include but are not limited to: econometric analyses of derivative markets (efficiency, anomalies, performance, etc.) analysis of swap markets market microstructure and volatility issues regulatory and taxation issues credit risk new areas of applications such as corporate finance (capital budgeting, debt innovations), international trade (tariffs and quotas), banking and insurance (embedded options, asset-liability management) risk-sharing issues and the design of optimal derivative securities risk management, management and control valuation and analysis of the options embedded in capital projects valuation and hedging of exotic options new areas for further development (i.e. natural resources, environmental economics. The Review has a double-blind refereeing process. In contrast to the delays in the decision making and publication processes of many current journals, the Review will provide authors with an initial decision within nine weeks of receipt of the manuscript and a goal of publication within six months after acceptance. Finally, a section of the journal is available for rapid publication on `hot'' issues in the market, small technical pieces, and timely essays related to pending legislation and policy. Officially cited as: Rev Deriv Res