Empirical pricing kernels

• 成果类型: Article
• 署名作者: Rosenberg, JV; Engle, RF
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00128-9
• 发表日期: 2002
• 页码: 341-372
• 关键词: pricing kernels; risk aversion; derivatives; hedging

摘要

This paper investigates the empirical characteristics of investor risk aversion over equity return states by estimating a time-varying pricing kernel, which we call the empirical pricing kernel (EPK). We 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. We find that the EPK exhibits counter cyclical risk aversion over S&P 500 return states. We also find that hedging performance is significantly improved when we use hedge ratios based the EPK rather than a time-invariant pricing kernel. (C) 2002 Elsevier Science B.V. All rights reserved.