Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79636
Authors: 
Grith, Maria
Karl Härdle, Wolfgang
Krätschmer, Volker
Year of Publication: 
2013
Series/Report no.: 
SFB 649 Discussion Paper 2013-023
Abstract: 
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.
Subjects: 
pricing kernel
aggregate agent
empirical pricing kernel
EPK puzzle
state dependent
JEL: 
D04
D53
C02
G13
Document Type: 
Working Paper

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