Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle*
Author:
Affiliation:
1. Humboldt-Universität zu Berlin and
2. Universität Duisburg-Essen
Publisher
Oxford University Press (OUP)
Subject
Finance,Economics and Econometrics,Accounting
Link
http://academic.oup.com/rof/article-pdf/21/1/269/26321900/rfv062.pdf
Reference79 articles.
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2. Testing the forecasting performance of IBEX 35 option-implied risk-neutral densities;Alonso,2005
3. Investor heterogeneity and the non-monotonicity of the aggregate marginal rate of substitution in the market index;Bakshi,2007
4. Returns of claims on the upside and the viability of u-shaped pricing kernels;Bakshi;Journal of Financial Economics,2010
5. Prices for state-contingent claims: Some estimates and applications;Banz;The Journal of Business,1978
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