Abstract

We estimate the parameters of pricing kernels that depend on both aggregate wealth and state variables that describe the investment opportunity set, using FTSE 100 and S&P 500 index option returns as the returns to be priced. The coefficients of the state variables are highly significant and remarkably consistent across specifications of the pricing kernel, and across the two markets. The results provide further strong evidence, which is consistent with Merton’s (1973a) Intertemporal Capital Asset Pricing Model, that state variables in addition to market risk are priced.

摘要

[color=rgba(0, 0, 0, 0.87)]我们使用FTSE 100和S＆P 500指数期权收益作为要定价的收益，来估计依赖于总财富和描述投资机会集的状态变量的定价核心参数。

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[color=rgba(0, 0, 0, 0.87)]状态变量的系数非常重要，并且在定价核心规范之间以及在两个市场之间都非常一致。

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[color=rgba(0, 0, 0, 0.87)]结果提供了进一步有力的证据，这与默顿（1973a）的跨期资本资产定价模型相一致，即除了市场风险外，还对状态变量进行定价。（机器翻译）