Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence From The Cross Section of Equity Returns  

Oleh:

Dittmar, Robert F.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 1 (2002), page 369-404.
Topik: equity; studies; assets; prices
Fulltext: p 369.pdf (406.4KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper investigates non linear pricing kernels in which the risk factor is endogenously determined and preferences restrict the definition of the pricing kernel. These kernels potentially generate the empirical performance of non linear and multidactor models, while maintaining empirical power and avoiding ad hoc specification non linear pricing kernels are both admissible for the cross section of returns and are able to significantly improve upon linear single and multifactor kernels. Further, the non linearities in the pricing kernel drive out the importance of the factor in the linear multi - factor model.

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