Economics at your fingertips  

Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle

Maria Grith, Wolfgang Härdle () and Volker Krätschmer

Review of Finance, 2017, vol. 21, issue 1, 269-298

Abstract: Supported by several recent investigations, the empirical pricing kernel (PK) puzzle might be considered as a stylized fact. Based on an economic model with reference-dependent preferences for the financial investors, we emphasize a microeconomic view that explains the puzzle via state-dependent aggregate preferences. We also investigate how the shape of the PK estimated from option and stock market index returns changes in relation to the volatility risk premium.

JEL-codes: D01 D53 C02 G13 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf)
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

Review of Finance is currently edited by Josef ZechnerEditor-Name: Marco Pagano

More articles in Review of Finance from European Finance Association Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().

Page updated 2019-11-07
Handle: RePEc:oup:revfin:v:21:y:2017:i:1:p:269-298.