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Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2013-023
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
pricing kernel
aggregate agent
empirical pricing kernel
EPK puzzle
state dependent
JEL: 
D04
D53
C02
G13
Dokumentart: 
Working Paper

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