Empirical pricing kernels

被引：271

作者：

Rosenberg, JV ^{[1
]}

Engle, RF

机构：

[1] Fed Reserve Bank New York, New York, NY 10045 USA

[2] NYU, Stern Sch Business, New York, NY 10012 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2002年 / 64卷 / 03期

关键词：

pricing kernels; risk aversion; derivatives; hedging;

D O I：

10.1016/S0304-405X(02)00128-9

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the empirical characteristics of investor risk aversion over equity return states by estimating a time-varying pricing kernel, which we call the empirical pricing kernel (EPK). We estimate the EPK on a monthly basis from 1991 to 1995, using S&P 500 index option data and a stochastic volatility model for the S&P 500 return process. We find that the EPK exhibits counter cyclical risk aversion over S&P 500 return states. We also find that hedging performance is significantly improved when we use hedge ratios based the EPK rather than a time-invariant pricing kernel. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：341 / 372

页数：32

共 48 条

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