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The pricing kernel puzzle: A behavioral explanation.
- Source :
- Cogent Economics & Finance; Jan2019, Vol. 7 Issue 1, p1-10, 10p
- Publication Year :
- 2019
-
Abstract
- 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. [ABSTRACT FROM AUTHOR]
- Subjects :
- INDIVIDUAL investors
PUZZLES
EXPLANATION
Subjects
Details
- Language :
- English
- ISSN :
- 23322039
- Volume :
- 7
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Cogent Economics & Finance
- Publication Type :
- Academic Journal
- Accession number :
- 141193727
- Full Text :
- https://doi.org/10.1080/23322039.2019.1684609