The Pricing Kernel Puzzle: Survey and Outlook

79 Pages Posted: 6 Jun 2016 Last revised: 22 Nov 2016

See all articles by Horatio Cuesdeanu

Horatio Cuesdeanu

University of Konstanz - Department of Economics

Jens Carsten Jackwerth

University of Konstanz - Department of Economics

Date Written: June 2, 2016

Abstract

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

Cuesdeanu, Horatio and Jackwerth, Jens Carsten, The Pricing Kernel Puzzle: Survey and Outlook (June 2, 2016). Available at SSRN: https://ssrn.com/abstract=2788560 or http://dx.doi.org/10.2139/ssrn.2788560

Horatio Cuesdeanu

University of Konstanz - Department of Economics ( email )

Konstanz, D-78457
Germany

Jens Carsten Jackwerth (Contact Author)

University of Konstanz - Department of Economics ( email )

Universitaetsstr. 10
Konstanz, 78457
Germany
+497531882196 (Phone)
+497531883120 (Fax)

HOME PAGE: http://cms.uni-konstanz.de/wiwi/jackwerth/

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