BAFI Seminar - Tyler Shumwayhttps://weatherhead.case.edu/events/2015/11/13/bafi-seminar---tyler-shumwayA 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
txn2@case.edu
216-368-2040 Tel
216-368-6249 Fax
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Friday, Nov. 13, 2015 from noon to 1:30 p.m. |
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Peter B. Lewis Building Room 05
11119 Bellflower Road
Cleveland, OH 44106-7235
United States
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Speaker(s): Tyler Shumway, Un. of Michigan |
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Shumway paper |
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