研究報告書

A Dynamic Equilibrium Model for U-Shaped Pricing Kernels

eng

法政大学イノベーション・マネジメント研究センター

173

1

40

2017-02-10

Version of Record

イノベーション・マネジメント研究センターの許諾済。引用には出典を明記してください。

This paper proposes a dynamic equilibrium model that can provide a uni ed explanation for the stylized facts observed in stock index markets such as the fat tails of risk- neutral return distribution relative to physical distribution, negative expected returns ondeep OTM call options, and negative realized variance risk premiums. In particular, we focus on the U-shaped pricing kernel against the stock index return, which is closely related to the negative call returns. We assume that the stock index return follows the time-changed L evy process and that a representative investor has power utility over the aggregate consumption that forms a linear regression of the stock index return and its stochastic activity rate. This model offers a macroeconomic interpretation of the stylized facts from the perspective of the sensitivity of the activity rate and stock index return on the aggregate consumption as well as the investor's risk aversion.

Working Paper