ELW pricing kernel and empirical risk aversion

Jun Sik Kim, Hyeyoen Kim and Doojin Ryu

Applied Economics Letters, 2014, vol. 21, issue 5, 372-376

Abstract: This study examines the pricing kernel and empirical risk aversion implied by Korea's equity-linked warrants (ELWs). The estimated pricing kernel is clearly time-varying and exhibits a monotonic decrease with the underlying return state, which is consistent with mainstream economic theories on marginal utility. The movement of empirical risk aversion captures the economic conditions reflecting the recent global and liquidity crises. Particularly, empirical risk aversion has a highly significant relationship with the overall stock market return and credit spread change.

Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2013.861577 (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: https://EconPapers.repec.org/RePEc:taf:apeclt:v:21:y:2014:i:5:p:372-376

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2013.861577

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().