Pricing Kernel Monotonicity and Conditional Information

• 成果类型: Article
• 署名作者: Linn, Matthew; Shive, Sophie; Shumway, Tyler
• 署名单位: University of Massachusetts System; University of Massachusetts Amherst; University of Notre Dame; University of Michigan System; University of Michigan
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx095
• 发表日期: 2018
• 页码: 493
• 关键词: risk-aversion; options; prices

摘要

A large literature finds evidence that pricing kernels nonparametrically estimated from option prices and historical returns are not monotonically decreasing in market index returns. We argue that existing estimation methods are inconsistent and propose a new nonparametric estimator of the pricing kernel that reflects the information available to investors who set asset prices. In simulations, the estimator outperforms existing techniques. Our empirical estimates using S&P 500 index option data from 1996 to 2014 and FTSE 100 index option data from 2002 to 2014 suggest that the pricing kernel puzzle is due to flaws in existing estimators rather than a behavioral or economic phenomenon.