Sentiment Lost: the E ect of Projecting the Empirical Pricing Kernel onto a Smaller Filtration Set


This paper analyzes the impacts of using a suboptimal information set for the estimation of the empirical pricing kernel.Not sharing the same nullset, an option-based risk-neutral and a stock-based real world measure lead... [ view full abstract ]


  1. Carlo Sala (ESADE Business School)
  2. Giovanni Barone Adesi (Universita della Svizzera Italiana)

Topic Areas

Arbitrage Theory , Information Models , Stochastic Analysis


WE-A-DA » The Value of Information (11:30 - Wednesday, 18th July, Davis)

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