The pricing kernel puzzle : a behavioral explanation

Hammad Siddiqi and John Quiggin

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.

MoreLess

Year of publication:	2019
Authors:	Siddiqi, Hammad ; Quiggin, John C.
Published in:	Cogent economics & finance. - Abingdon : Taylor & Francis, ISSN 2332-2039, ZDB-ID 2773198-4. - Vol. 7.2019, 1, Art.-No. 1684609, p. 1-20
Subject:	Differential awareness \| pricing kernel puzzle \| rare disasters \| Theorie \| Theory \| CAPM \| Börsenkurs \| Share price \| Risikopräferenz \| Risk attitude \| Core \| Anlageverhalten \| Behavioural finance \| Risikoprämie \| Risk premium

freely available

Full text |

More access options

www.tandfonline.com

doi.org

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1080/23322039.2019.1684609 [DOI] hdl:10419/270694 [Handle]
Classification:	D00 - Microeconomics. General ; D40 - Market Structure and Pricing. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014232619