haku: @author Rosenberg, / yhteensä: 58
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| Tekijä: | Rosenberg, J. V. Engle, R. F. |
| Otsikko: | Empirical pricing kernels |
| Lehti: | Journal of Financial Economics
2002 : JUN, VOL. 64:3, p. 341-372 |
| Asiasana: | PRICING RISK RISK ANALYSIS HEDGING |
| Kieli: | eng |
| Tiivistelmä: | This paper investigates the empirical characteristics of investor risk aversion over equity return states by estimating a time-varying pricing kernel, which the authors call the empirical pricing kernel (EPK). The authors 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. The authors find that the EPK exhibits counter cyclical risk aversion over S&P 500 return states. The authors also find that hedging performance is significantly improved when the authors use hedge ratios based the EPK rather than a time-invariant pricing kernel. |
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