'Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory': Online Appendix

60 Pages Posted: 22 Jul 2013 Last revised: 20 Mar 2017

See all articles by Giovanni Barone-Adesi

Giovanni Barone-Adesi

University of Lugano; Swiss Finance Institute

Loriano Mancini

USI Lugano - Institute of Finance; Swiss Finance Institute

Hersh Shefrin

Santa Clara University - Leavey School of Business

Date Written: March 10, 2017

Abstract

This online appendix extends the empirical analysis in the main paper, and provides diagnostic tests, robustness checks and additional regression results.

The paper "Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=2060983

Keywords: Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data

JEL Classification: G02, G12

Suggested Citation

Barone-Adesi, Giovanni and Mancini, Loriano and Shefrin, Hersh, 'Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory': Online Appendix (March 10, 2017). Available at SSRN: https://ssrn.com/abstract=2295896 or http://dx.doi.org/10.2139/ssrn.2295896

Giovanni Barone-Adesi

University of Lugano ( email )

Via Buffi 13
CH-6904 Lugano
Switzerland
+41 58 666 4671 (Phone)
+41 58 666 46 47 (Fax)

Swiss Finance Institute

c/o University of Geneva
40 Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Loriano Mancini

USI Lugano - Institute of Finance ( email )

Via Giuseppe Buffi 6
6904 Lugano, CH-6904
Switzerland
+41 (0)91 912 46 47 (Fax)

HOME PAGE: http://www.people.usi.ch/mancil/

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Hersh Shefrin (Contact Author)

Santa Clara University - Leavey School of Business ( email )

Dept. of Finance
Santa Clara, CA 95053
United States
408-554-6893 (Phone)
408-554-4029 (Fax)

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