Files and links (2)
Published VersionCC BY V4.0, Open Access
Journal article
The pricing kernel puzzle: A behavioral explanation
Cogent Economics & Finance, Vol.7, pp.1-20
2019
Abstract
We show that if sophisticated institutional managers and individual investors perceive tail-risks differently, then a new explanation for the pricing kernel puzzle emerges. We show, by example, that even a tiny difference in tail-risk perception by the two investor types can explain the pricing kernel puzzle.
Details
- Title
- The pricing kernel puzzle: A behavioral explanation
- Authors
- Hammad Siddiqi (Author) - University of the Sunshine CoastJohn Quiggin (Author) - University of Queensland
- Publication details
- Cogent Economics & Finance, Vol.7, pp.1-20
- Publisher
- Cogent OA
- Date published
- 2019
- DOI
- 10.1080/23322039.2019.1684609
- ISSN
- 2332-2039
- Copyright note
- Copyright © 2019 The Author(s). This open access article is distributed under a Creative Commons Attribution (CC-BY) 4.0 license
- Organisation Unit
- School of Business and Creative Industries; University of the Sunshine Coast, Queensland; USC Business School - Legacy
- Language
- English
- Record Identifier
- 99450789702621
- Output Type
- Journal article
Metrics
9 File views/ downloads
97 Record Views
InCites Highlights
These are selected metrics from InCites Benchmarking & Analytics tool, related to this output
- Collaboration types
- Domestic collaboration
- Web Of Science research areas
- Economics
UN Sustainable Development Goals (SDGs)
This output has contributed to the advancement of the following goals:
Source: InCites