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• W2782972188 abstract "Estimating the market’s subjective distribution of future returns by means of backward looking historical data leads to uninformative and, at best, partially-conditional measures. What is missing are the investors’ forward-looking beliefs. This long-lasting problem affects a huge amount of literature and leads to puzzles and suboptimal results.This paper proposes a new market-based, flexible and highly informative non-parametric method to estimate a conditional and time varying physical measure. Letting the data speak as much as possible, the measure is completed through the informational content of the implied moments of the option prices. The proposed density, a mixture of different sources of information, combines the options forward-looking knowledge with the historical background provided by stock returns thus encoding past, present and future information. The new measure is then used to investigate extensively the pricing kernel monotonicity." @default.
• W2782972188 created "2018-01-26" @default.
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• W2782972188 date "2017-01-01" @default.
• W2782972188 modified "2023-09-29" @default.
• W2782972188 title "The Impact of Misalignment of Beliefs on the Estimation of the Pricing Kernel" @default.
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• W2782972188 doi "https://doi.org/10.2139/ssrn.2720180" @default.
• W2782972188 hasPublicationYear "2017" @default.
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