Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/270694 
Year of Publication: 
2019
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 7 [Issue:] 1 [Article No.:] 1684609 [Year:] 2019 [Pages:] 1-20
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
We show that if sophisticated institutional managers and individual investors perceive tail-risks differently, then a new explanation for the pricing kernel puzzle emerges. We show, by example, that even a tiny difference in tail-risk perception by the two investor types can explain the pricing kernel puzzle.
Subjects: 
Differential awareness
pricing kernel puzzle
rare disasters
JEL: 
D00
D40
G12
G13
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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