Asset Pricing Puzzles: Evidence from Options Markets

Joshua Rosenberg

New York University, Leonard N. Stern School Finance Department Working Paper Seires from New York University, Leonard N. Stern School of Business-

Abstract: This paper examines the relationship between consumption-based and option-based risk-neutral moments, providing a technique to explore consumption-based pricing kernel specifications using data from the options markets. Estimators for average risk-neutral moments of each type are proposed and implemented.

Date: 2000-09
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