|
EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25326
|
| | |
| Title: | | A microeconomic explanation of the EPK paradox  |
| Authors: | | Härdle, Wolfgang Karl Krätschmer, Volker Moro, Rouslan A. |
| Issue Date: | | 2009 |
| Series/Report no.: | | SFB 649 discussion paper 2009,010 |
| Abstract: | | Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might be caused by regime switching of stock prices in financial markets. Alternatively, we want to emphasize a microeconomic view. Based on an economic model with state dependent utilities for the financial investors we succeed in explaining the paradox by changes of the risk attitudes. Theoretically, the change behaviour is compressed by the pricing kernels. As a starting point for empirical insights we shall develop and investigate inverse problems in terms of data fits for estimated basic values of the pricing kernel. |
| Subjects: | | Pricing kernel representative agent empirical pricing kernel epk paradox state dependent utilities switching points |
| JEL: | | D01 D58 C02 G13 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/25326
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|