Economics at your fingertips  

The pricing kernel puzzle: survey and outlook

Horatio Cuesdeanu () and Jens Carsten Jackwerth ()
Additional contact information
Horatio Cuesdeanu: University of Konstanz
Jens Carsten Jackwerth: University of Konstanz

Annals of Finance, 2018, vol. 14, issue 3, 289-329

Abstract: Abstract It has been a while since the literature on the pricing kernel puzzle was summarized in Jackwerth (Option-implied risk-neutral distributions and risk-aversion, The Research Foundation of AIMR, Charlotteville, 2004). That older survey also covered the topic of risk-neutral distributions, which was itself already surveyed in Jackwerth (J Deriv 2:66–82, 1999). Much has happened in those years and estimation of risk-neutral distributions has moved from new and exciting in the last half of the 1990s to becoming a well-understood technology. Thus, the present survey will focus on the pricing kernel puzzle, which was first discussed around 2000. We document the pricing kernel puzzle in several markets and present the latest evidence concerning its (non-)existence. Econometric studies are detailed which test for the pricing kernel puzzle. The present work adds much breadth in terms of economic explanations of the puzzle. New challenges for the field are described in the process.

Keywords: Pricing kernel puzzle; Stochastic discount factor; Options; S&P 500 (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Annals of Finance is currently edited by Anne Villamil

More articles in Annals of Finance from Springer
Bibliographic data for series maintained by Sonal Shukla ().

Page updated 2019-04-07
Handle: RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9