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. …

focused on portfolio allocation and asset pricing and scholars interested in return forecasting, capital budgeting and risk …

We document that a theoretically founded, real-time, and easy-to-implement option-based measure, termed synthetic … general asset pricing setting with transaction costs. First, we document its predicted type of connection with various proxies … of stocks' transaction costs. Second, we conduct simple asset pricing tests which render fur- ther support. Our setting …

Macro-finance asset pricing models provide a rationale for connectedness dynamics between equity and Treasury risk …

In this study, we analyze whether model complexity improves accuracy of CoCo pricing models. We compare the out …-of-sample pricing ability of four models using a broad dataset that contains all CoCos which were issued between January 1, 2013 and May …, and a trading model, solely based on historic market prices but no pricing theory at all. For a normal market environment …