We combine two approaches to the pricing kernel, one empirical and one theoretical, which relax the restriction that the objective return distribution and risk neutral distribution share the same volatility and higher order moments. The empirical approach provides estimates for the evolution of...

Regulators charged with monitoring systemic risk need to focus on sentiment as well as narrowly defined measures of systemic risk. This chapter describes techniques for jointly monitoring the co-evolution of sentiment and systemic risk. To measure systemic risk, we use Marginal Expected...

This online appendix extends the empirical analysis in the main paper, and provides diagnostic tests, robustness checks and additional regression results.The paper "Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory" to which these Appendices apply is...

We estimate investors' sentiment from option and stock prices by anchoring objective beliefs to a neoclassical pricing kernel. Our estimates of sentiment correlate well with other sentiment measures such as the Baker–Wurgler index, the Yale/Shiller crash confidence index and the Duke/CFO...