Conditional risk and the pricing kernel

• 成果类型: Article
• 署名作者: Schreindorfer, David; Sichert, Tobias
• 署名单位: Michigan State University; Michigan State University's Broad College of Business; Stockholm School of Economics
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104106
• 发表日期: 2025
• 关键词: pricing kernel; Risk-return trade-off; volatility; Equity index options; Variance premium; Conditional density estimation

摘要

We propose a statistical methodology for jointly estimating the pricing kernel and conditional physical return densities from option prices. Pricing kernel estimates show that negative stock market returns are significantly more painful to investors in low-volatility periods. Density estimates reflect a significantly positive risk-return trade-off, suggest that Martin's (2017) lower bound on the equity premium is violated in high-volatility periods, and provide new evidence on the variance premium's predictive power for excess returns as well as the co-movement between higher return moments. Lastly, we show that leading macrofinance models are at odds with basic features of conditional stock market risks and risk pricing.