Reference Dependent Preferences and the EPK Puzzle
dc.contributor.author | Grith, Maria | |
dc.contributor.author | Härdle, Wolfgang Karl | |
dc.contributor.author | Krätschmer, Volker | |
dc.date.accessioned | 2017-06-16T00:51:01Z | |
dc.date.available | 2017-06-16T00:51:01Z | |
dc.date.created | 2013-08-01 | |
dc.date.issued | 2013-05-06 | |
dc.date.submitted | 2013-05-06 | |
dc.identifier.issn | 1860-5664 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/5115 | |
dc.description.abstract | Supported by several recent investigations, the empirical pricing kernel (EPK) puzzle might be considered a stylized fact. Based on an economic model with state dependent preferences for the financial investors, we want to emphasize a microeconomic view that succeeds in explaining the puzzle. We retain the expected utility framework in a one period model and illustrate the case when the state is defined with respect to a reference point. We further investigate how the model relates the shape of the EPK to the economic conditions. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | Pricing kernel | eng |
dc.subject | aggregate agent | eng |
dc.subject | empirical pricing kernel | eng |
dc.subject | EPK puzzle | eng |
dc.subject | state dependent | eng |
dc.subject.ddc | 310 Sammlungen allgemeiner Statistiken | |
dc.subject.ddc | 330 Wirtschaft | |
dc.title | Reference Dependent Preferences and the EPK Puzzle | |
dc.type | workingPaper | |
dc.identifier.urn | urn:nbn:de:kobv:11-100211270 | |
dc.identifier.doi | http://dx.doi.org/10.18452/4463 | |
local.edoc.pages | 37 | |
local.edoc.type-name | Diskussionspapier | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-year | 2013 | |
dc.identifier.zdb | 2195055-6 | |
bua.series.name | Sonderforschungsbereich 649: Ökonomisches Risiko | |
bua.series.issuenumber | 2013,23 |