Returns of claims on the upside and the viability of U-shaped pricing kernels

被引:84
作者
Bakshi, Gurdip [2 ]
Madan, Dilip [2 ]
Panayotov, George [1 ]
机构
[1] Georgetown Univ, McDonough Sch Business, Washington, DC 20057 USA
[2] Univ Maryland, Smith Sch Business, College Pk, MD 20742 USA
关键词
U-shaped pricing kernels; Claims on the upside; Monotonically declining pricing kernels; Expected returns; Negative average option returns; Short-selling; Heterogeneity in beliefs; IMPLIED RISK-AVERSION; INDIVIDUAL EQUITY OPTIONS; HETEROGENEOUS BELIEFS; PORTFOLIO INSURANCE; CONTINGENT CLAIMS; ASSET PRICES; MARKETS; VOLATILITY; STOCK; VALUATION;
D O I
10.1016/j.jfineco.2010.03.009
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
When the pricing kernel is U-shaped, then expected returns of claims with payout on the upside are negative for strikes beyond a threshold, determined by the slope of the U-shaped kernel in its increasing region, and have negative partial derivative with respect to strike in the increasing region of the kernel. Using returns of (i) S&P 500 index calls, (ii) calls on major international equity indexes, (iii) digital calls, (iv) upside variance contracts, and (v) a theoretical construct that we denote as kernel call, we find broad support for the implications of U-shaped pricing kernels. A possible theoretical reconciliation of our empirical findings is explored through a model that accommodates heterogeneity in beliefs about return outcomes and short-selling. (c) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码:130 / 154
页数:25
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