Reference dependent preferences and the EPK puzzle

Arbeitspapier

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 retain the expected utility framework in a one period model and illustrate the case when the state is defined with respect to a reference point. We further investigate how the model relates the shape of the EPK to the economic conditions.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 649 Discussion Paper ; No. 2013-023

Classification and Topics

• Classification: Wirtschaft ; Microeconomic Policy: Formulation, Implementation, and Evaluation ; General Equilibrium and Disequilibrium: Financial Markets ; Mathematical Methods ; Contingent Pricing; Futures Pricing; option pricing
• Subject: pricing kernel ; aggregate agent ; empirical pricing kernel ; EPK puzzle ; state dependent

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Grith, Maria ; Karl Härdle, Wolfgang ; Krätschmer, Volker
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (where): Berlin
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/79636
• Last update: 10.03.2025, 11:42 AM CET