Search Results - subject:"Pricing Kernel Puzzle"

Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle

Dierkes, Maik; Krupski, Jan; Schroen, Sebastian; … - In: Review of derivatives research 27 (2024) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10015133906

Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle

Dierkes, Maik; Krupski, Jan; Schroen, Sebastian; … - In: Review of Derivatives Research 27 (2023) 1, pp. 1-35

aversion related to probability weighting, we shed further light on the pricing kernel puzzle. While pricing kernels estimated …

Persistent link: https://www.econbiz.de/10015188360

Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle

Dierkes, Maik; Krupski, Jan; Schroen, Sebastian; … - In: Review of Derivatives Research 27 (2023) 1, pp. 1-35

aversion related to probability weighting, we shed further light on the pricing kernel puzzle. While pricing kernels estimated …

Persistent link: https://www.econbiz.de/10015402109

An empirical study of the sentiment capital asset pricing model

Ghazi, Soroush; Schneider, Mark - 2020

Persistent link: https://www.econbiz.de/10012209308

The pricing kernel puzzle: A behavioral explanation

Siddiqi, Hammad; Quiggin, John C. - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-20

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. …

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

The pricing kernel puzzle : a behavioral explanation

Siddiqi, Hammad; Quiggin, John C. - In: Cogent economics & finance 7 (2019) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10014232619

Empirical pricing kernel and option-implied risk aversion in China 50 ETF

Sung, Hao-Chang; Shi, Lisi - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 15, pp. 4286-4299

Persistent link: https://www.econbiz.de/10013463016

Option market trading activity and the estimation of the pricing kernel : a Bayesian approach

Barone-Adesi, Giovanni; Fusari, Nicola; Mira, Antonietta; … - In: Journal of econometrics 216 (2020) 2, pp. 430-449

Persistent link: https://www.econbiz.de/10012439749

Implied risk aversion and pricing kernel in the FTSE 100 index

Liao, Wen Ju; Sung, Hao-Chang - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012667184

Does the pricing kernel anomaly reflect forward looking beliefs?

Sala, Carlo - 2015

, regardless of the level of volatility, thus providing an explanation to the well known U-shaped pricing kernel puzzle …

Persistent link: https://www.econbiz.de/10011506354

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