Matches in SemOpenAlex for { <https://semopenalex.org/work/W1883768842> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W1883768842 endingPage "356" @default.
- W1883768842 startingPage "338" @default.
- W1883768842 abstract "Summary A large class of asset pricing models predicts that securities which have high payoffs when market returns are low tend to be more valuable than those with high payoffs when market returns are high. More generally, we expect the projection of the stochastic discount factor on the market portfolio—that is, the discounted pricing kernel evaluated at the market portfolio—to be a monotonically decreasing function of the market portfolio. Numerous recent empirical studies appear to contradict this prediction. The non‐monotonicity of empirical pricing kernel estimates has become known as the pricing kernel puzzle. In this paper we propose and apply a formal statistical test of pricing kernel monotonicity. We apply the test using 17 years of data from the market for European put and call options written on the S&P 500 index. Statistically significant violations of pricing kernel monotonicity occur in a substantial proportion of months, suggesting that observed non‐monotonicities are unlikely to be the product of statistical noise. Copyright © 2014 John Wiley & Sons, Ltd." @default.
- W1883768842 created "2016-06-24" @default.
- W1883768842 creator A5051703009 @default.
- W1883768842 creator A5085895259 @default.
- W1883768842 date "2014-10-10" @default.
- W1883768842 modified "2023-10-05" @default.
- W1883768842 title "An Empirical Test of Pricing Kernel Monotonicity" @default.
- W1883768842 cites W1536747925 @default.
- W1883768842 cites W1978225880 @default.
- W1883768842 cites W2002840180 @default.
- W1883768842 cites W2016012896 @default.
- W1883768842 cites W2031732594 @default.
- W1883768842 cites W2032533707 @default.
- W1883768842 cites W2126434678 @default.
- W1883768842 cites W2128569377 @default.
- W1883768842 cites W2132654322 @default.
- W1883768842 cites W2157269170 @default.
- W1883768842 cites W2162834287 @default.
- W1883768842 cites W2179356764 @default.
- W1883768842 cites W3022492005 @default.
- W1883768842 cites W3023101956 @default.
- W1883768842 cites W3121514346 @default.
- W1883768842 cites W3121532596 @default.
- W1883768842 cites W3122091423 @default.
- W1883768842 cites W3122467650 @default.
- W1883768842 cites W3123118133 @default.
- W1883768842 cites W3124034093 @default.
- W1883768842 cites W3124216392 @default.
- W1883768842 cites W3124597381 @default.
- W1883768842 cites W3124960685 @default.
- W1883768842 cites W3125263362 @default.
- W1883768842 cites W4206460965 @default.
- W1883768842 cites W1969672576 @default.
- W1883768842 doi "https://doi.org/10.1002/jae.2422" @default.
- W1883768842 hasPublicationYear "2014" @default.
- W1883768842 type Work @default.
- W1883768842 sameAs 1883768842 @default.
- W1883768842 citedByCount "44" @default.
- W1883768842 countsByYear W18837688422015 @default.
- W1883768842 countsByYear W18837688422016 @default.
- W1883768842 countsByYear W18837688422017 @default.
- W1883768842 countsByYear W18837688422018 @default.
- W1883768842 countsByYear W18837688422019 @default.
- W1883768842 countsByYear W18837688422020 @default.
- W1883768842 countsByYear W18837688422021 @default.
- W1883768842 crossrefType "journal-article" @default.
- W1883768842 hasAuthorship W1883768842A5051703009 @default.
- W1883768842 hasAuthorship W1883768842A5085895259 @default.
- W1883768842 hasBestOaLocation W18837688422 @default.
- W1883768842 hasConcept C105795698 @default.
- W1883768842 hasConcept C106159729 @default.
- W1883768842 hasConcept C114614502 @default.
- W1883768842 hasConcept C120936955 @default.
- W1883768842 hasConcept C134306372 @default.
- W1883768842 hasConcept C149782125 @default.
- W1883768842 hasConcept C162324750 @default.
- W1883768842 hasConcept C181236170 @default.
- W1883768842 hasConcept C2777302077 @default.
- W1883768842 hasConcept C2780821815 @default.
- W1883768842 hasConcept C33175817 @default.
- W1883768842 hasConcept C33923547 @default.
- W1883768842 hasConcept C72169020 @default.
- W1883768842 hasConcept C74193536 @default.
- W1883768842 hasConceptScore W1883768842C105795698 @default.
- W1883768842 hasConceptScore W1883768842C106159729 @default.
- W1883768842 hasConceptScore W1883768842C114614502 @default.
- W1883768842 hasConceptScore W1883768842C120936955 @default.
- W1883768842 hasConceptScore W1883768842C134306372 @default.
- W1883768842 hasConceptScore W1883768842C149782125 @default.
- W1883768842 hasConceptScore W1883768842C162324750 @default.
- W1883768842 hasConceptScore W1883768842C181236170 @default.
- W1883768842 hasConceptScore W1883768842C2777302077 @default.
- W1883768842 hasConceptScore W1883768842C2780821815 @default.
- W1883768842 hasConceptScore W1883768842C33175817 @default.
- W1883768842 hasConceptScore W1883768842C33923547 @default.
- W1883768842 hasConceptScore W1883768842C72169020 @default.
- W1883768842 hasConceptScore W1883768842C74193536 @default.
- W1883768842 hasIssue "2" @default.
- W1883768842 hasLocation W18837688421 @default.
- W1883768842 hasLocation W18837688422 @default.
- W1883768842 hasLocation W18837688423 @default.
- W1883768842 hasOpenAccess W1883768842 @default.
- W1883768842 hasPrimaryLocation W18837688421 @default.
- W1883768842 hasRelatedWork W2017808917 @default.
- W1883768842 hasRelatedWork W2130830554 @default.
- W1883768842 hasRelatedWork W2177754476 @default.
- W1883768842 hasRelatedWork W2244239478 @default.
- W1883768842 hasRelatedWork W2271149428 @default.
- W1883768842 hasRelatedWork W2758445869 @default.
- W1883768842 hasRelatedWork W3124727466 @default.
- W1883768842 hasRelatedWork W3160869781 @default.
- W1883768842 hasRelatedWork W3198353561 @default.
- W1883768842 hasRelatedWork W4213002883 @default.
- W1883768842 hasVolume "31" @default.
- W1883768842 isParatext "false" @default.
- W1883768842 isRetracted "false" @default.
- W1883768842 magId "1883768842" @default.
- W1883768842 workType "article" @default.