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Asset Pricing Puzzles: Evidence from Options Markets

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  • Joshua Rosenberg

Abstract

This paper examines the relationship between consumption-based and option-based risk-neutral moments, providing a technique to explore consumption-based pricing kernel specifications using data from the options markets. Estimators for average risk-neutral moments of each type are proposed and implemented.

Suggested Citation

  • Joshua Rosenberg, 2000. "Asset Pricing Puzzles: Evidence from Options Markets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-025, New York University, Leonard N. Stern School of Business-.
  • Handle: RePEc:fth:nystfi:99-025
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    File URL: http://www.stern.nyu.edu/fin/workpapers/papers99/wpa99025b.pdf
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    File URL: http://www.stern.nyu.edu/fin/workpapers/papers99/wpa99025.pdf
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    References listed on IDEAS

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    Cited by:

    1. Tobias Adrian & Joshua Rosenberg, 2008. "Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk," Journal of Finance, American Finance Association, vol. 63(6), pages 2997-3030, December.
    2. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    3. Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2012. "How to Calculate Systemic Risk Surcharges," NBER Chapters,in: Quantifying Systemic Risk, pages 175-212 National Bureau of Economic Research, Inc.

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