The pricing kernel puzzle: A behavioral explanation
We show that if sophisticated institutional managers and individual investors perceive tail-risks differently, then a new explanation for the pricing kernel puzzle emerges. We show, by example, that even a tiny difference in tail-risk perception by the two investor types can explain the pricing kern...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
Taylor & Francis Group
2019-01-01
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Series: | Cogent Economics & Finance |
Subjects: | |
Online Access: | http://dx.doi.org/10.1080/23322039.2019.1684609 |
Summary: | We show that if sophisticated institutional managers and individual investors perceive tail-risks differently, then a new explanation for the pricing kernel puzzle emerges. We show, by example, that even a tiny difference in tail-risk perception by the two investor types can explain the pricing kernel puzzle. |
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ISSN: | 2332-2039 |