Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/25326 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2009,010
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
Pricing kernel
representative agent
empirical pricing kernel
epk paradox
state dependent utilities
switching points
JEL: 
D01
D58
C02
G13
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
399.4 kB





Publikationen in EconStor sind urheberrechtlich geschützt.