The Pricing Kernel Puzzle: Survey and Outlook
79 Pages Posted: 6 Jun 2016 Last revised: 22 Nov 2016
Date Written: June 2, 2016
We update the survey of the pricing kernel puzzle of Jackwerth (2004). We document the pricing kernel puzzle in several markets and present the latest evidence concerning its (non)existence. Econometric studies are detailed which test for the pricing kernel puzzle. Explanations of the pricing kernel puzzle are discussed and we suggest areas where more research is needed.
Keywords: Pricing Kernel Puzzle, Stochastic Discount Factor, Options, S&P 500
JEL Classification: G12, G13
Suggested Citation: Suggested Citation