BAFI Seminar - Tyler Shumway | Weatherhead School at Case Western Reserve University

BAFI Seminar - Tyler Shumway

Pricing Kernel Monotonicity and Conditional Information

A large literature fi nds evidence that pricing kernels estimated nonparametrically from option prices and historical returns are not monotonically decreasing in market index returns. We propose a new nonparametric estimator of the pricing kernel that reflects the information available to investors who set option prices. In simulations, the estimator outperforms current techniques. Our empirical estimates using S&P 500 index option data from 1996-2012 and FTSE 100 index option data from 2002-2013 suggest that the "pricing kernel puzzle" is a byproduct of econometric technique rather than a behavioral or economic phenomenon.

Fee: [Yes/No/Varies]

Contact Information:
Tedda Nathan
Department Administrator
216-368-2040 Tel
216-368-6249 Fax

Friday, Nov. 13, 2015 from noon to 1:30 p.m.
Peter B. Lewis Building Room 05
11119 Bellflower Road
Cleveland, OH 44106-7235
United States
Speaker(s): Tyler Shumway, Un. of Michigan
Shumway paper


Related Events

Loading events…

For undergraduate programs: learn more information here or apply now. For graduate programs: request more information or apply now. You can also register for one of over 70 open enrollment courses through Executive Education.

Weatherhead School of Management at Case Western Reserve University cultivates creativity, innovation, and purpose-driven leadership to design a better world.