The pricing kernel puzzle: A behavioral explanation

We show that if sophisticated institutional managers and individual investors perceive tail-risks differently, then a new explanation for the pricing kernel puzzle emerges. We show, by example, that even a tiny difference in tail-risk perception by the two investor types can explain the pricing kernel puzzle.

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Year of publication:	2019
Authors:	Siddiqi, Hammad ; Quiggin, John C.
Published in:	Cogent Economics & Finance. - ISSN 2332-2039. - Vol. 7.2019, 1, p. 1-20
Publisher:	Abingdon : Taylor & Francis
Subject:	Differential awareness \| pricing kernel puzzle \| rare disasters

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.1080/23322039.2019.1684609 [DOI] 1839682051 [GVK] hdl:10419/270694 [Handle] RePEc:taf:oaefxx:v:7:y:2019:i:1:p:1684609 [RePEc]
Classification:	D00 - Microeconomics. General ; D40 - Market Structure and Pricing. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10014001604