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Empirical Pricing Kernels

  • Joshua Rosenberg
  • Robert F. Engle

This paper investigates the empirical characteristics of investor risk aversion over equity return states by estimating a daily semi-parametric pricing kernel. The two key features of this estimator are: (1) the functional form of the pricing kernel is estimated semi-parametrically, instead of being prespecified and (2) the pricing kernel is re-estimated on a daily basis, allowing measurement of time-variation in risk-aversion over equity return states.

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File URL: http://www.stern.nyu.edu/fin/workpapers/papers99/wpa99014c.pdf
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File URL: http://www.stern.nyu.edu/fin/workpapers/papers99/wpa99014.pdf
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Paper provided by New York University, Leonard N. Stern School of Business- in its series New York University, Leonard N. Stern School Finance Department Working Paper Seires with number 99-014.

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Date of creation: Jul 2000
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Handle: RePEc:fth:nystfi:99-014
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U.S.A.; New York University, Leonard N. Stern School of Business, Department of Economics . 44 West 4th Street. New York, New York 10012-1126

Phone: (212) 998-0100
Web page: http://w4.stern.nyu.edu/finance/

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