Artikel
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.
- Language
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Englisch
- Bibliographic citation
-
Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 7 ; Year: 2019 ; Issue: 1 ; Pages: 1-20
- Classification
-
Wirtschaft
Microeconomics: General
Market Structure, Pricing, and Design: General
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
- Subject
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Differential awareness
pricing kernel puzzle
rare disasters
- Event
-
Geistige Schöpfung
- (who)
-
Siddiqi, Hammad
Quiggin, John C.
- Event
-
Veröffentlichung
- (who)
-
Taylor & Francis
- (where)
-
Abingdon
- (when)
-
2019
- DOI
-
doi:10.1080/23322039.2019.1684609
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Siddiqi, Hammad
- Quiggin, John C.
- Taylor & Francis
Time of origin
- 2019
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