Grith, Maria; Härdle, Wolfgang Karl; Krätschmer, Volker - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
Supported by several recent investigations, the empirical pricing kernel (EPK) puzzle might be considered a stylized fact. Based on an economic model with state dependent preferences for the financial investors, we want to emphasize a microeconomic view that succeeds in explaining the puzzle. We...
