Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. The main interest in pricing kernels lies in validating the presence of the peaks and their variability in location among curves. Motivated by this observation we investigate the problem of...

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...