Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
Barone Adesi-<br />
Engle-Mancini (<strong>2008</strong>)<br />
<br />
<br />
<br />
<br />
<br />
Empirical SDF based on index options data for<br />
1/2002 – 12/2004.<br />
Asymmetric volatility and negative skewness<br />
of filtered historical innovations.<br />
Equality broken between physical and risk<br />
neutral volatilities.<br />
BEM obtain a neoclassical SDF!<br />
When BEM use the traditional Gaussian<br />
approach for the period they study, the<br />
estimated SDF features the behavioural<br />
oscillating shape.<br />
Copyright Hersh <strong>Shefrin</strong> <strong>2008</strong><br />
42