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dc.contributor.authorHärdle, Wolfgang Karlen
dc.contributor.authorKrätschmer, Volkeren
dc.contributor.authorMoro, Rouslan A.en
dc.date.accessioned2009-03-19-
dc.date.accessioned2009-07-23T15:15:19Z-
dc.date.available2009-07-23T15:15:19Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/25326-
dc.description.abstractSupported 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.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2009,010en
dc.subject.jelD01en
dc.subject.jelD58en
dc.subject.jelC02en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordPricing kernelen
dc.subject.keywordrepresentative agenten
dc.subject.keywordempirical pricing kernelen
dc.subject.keywordepk paradoxen
dc.subject.keywordstate dependent utilitiesen
dc.subject.keywordswitching pointsen
dc.subject.stwBörsenkursen
dc.subject.stwAnlageverhaltenen
dc.subject.stwRisikopräferenzen
dc.subject.stwErwartungsnutzenen
dc.subject.stwTheorieen
dc.titleA microeconomic explanation of the EPK paradox-
dc.type|aWorking Paperen
dc.identifier.ppn594005973en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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