A Microeconomic Explanation of the EPK Paradox
Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might be caused by regime switching of stock prices in financial markets. Alternatively, we want to emphasize a microeconomic view. Based on an economic model with state dependent utilities for the financial investors we succeed in explaining the paradox by changes of the risk attitudes. Theoretically, the change behaviour is compressed by the pricing kernels. As a starting point for empirical insights we shall develop and investigate inverse problems in terms of data fits for estimated basic values of the pricing kernel.
|Date of creation:||Feb 2009|
|Contact details of provider:|| Postal: Spandauer Str. 1,10178 Berlin|
Web page: http://sfb649.wiwi.hu-berlin.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis, 2009.
"Mispricing of S&P 500 Index Options,"
Review of Financial Studies,
Society for Financial Studies, vol. 22(3), pages 1247-1277, March.
- Stylianos Perrakis & Jens Carsten Jackwerth & George Constantinides, 2005. "Mispricing of S&P 500 Index Options," Working Papers wp05-07, Warwick Business School, Finance Group.
- George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis, 2008. "Mispricing of S&P 500 Index Options," NBER Working Papers 14544, National Bureau of Economic Research, Inc.
- Jens Carsten Jackwerth & George M. Constantinaides & Stylianos Perrakis, 2005. "Mispricing of S&P 500 Index Options," CoFE Discussion Paper 05-09, Center of Finance and Econometrics, University of Konstanz.
- Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
- Yacine Ait-Sahalia & Andrew W. Lo, 2000. "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers 6130, National Bureau of Economic Research, Inc.
- Jackwerth, Jens Carsten, 2000. "Recovering Risk Aversion from Option Prices and Realized Returns," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 433-451.
- Jens Carsten Jackwerth., 1996. "Recovering Risk Aversion from Option Prices and Realized Returns," Research Program in Finance Working Papers RPF-265, University of California at Berkeley.
- Jens Carsten Jackwerth, 1998. "Recovering Risk Aversion from Option Prices and Realized Returns," Finance 9803002, EconWPA.
- Fousseni Chabi-Yo & René Garcia & Eric Renault, 2008. "State Dependence Can Explain the Risk Aversion Puzzle," Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 973-1011, April.
- Yuri Golubev & Wolfgang Härdle & Roman Timofeev, 2014. "Testing monotonicity of pricing kernels," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 98(4), pages 305-326, October.
- Yuri Golubev & Wolfgang Härdle & Roman Timonfeev, 2008. "Testing Monotonicity of Pricing Kernels," SFB 649 Discussion Papers SFB649DP2008-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- repec:dau:papers:123456789/13604 is not listed on IDEAS
- Kai Detlefsen & Wolfgang Härdle & Rouslan Moro, 2007. "Empirical Pricing Kernels and Investor Preferences," SFB 649 Discussion Papers SFB649DP2007-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Karni, Edi & Schmeidler, David & Vind, Karl, 1983. "On State Dependent Preferences and Subjective Probabilities," Econometrica, Econometric Society, vol. 51(4), pages 1021-1031, July. Full references (including those not matched with items on IDEAS)