Pricing Kernel Specification for User Cost of Monetary Assets

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Issue Date
2007-04-27Author
Zhou, Wei
Publisher
University of Kansas
Format
118 pages
Type
Dissertation
Degree Level
Ph.D.
Discipline
Economics
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This item is protected by copyright and unless otherwise specified the copyright of this thesis/dissertation is held by the author.
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This paper studies the nonlinear asset pricing kernel approximation by using orthonormal polynomials of state variables in which the pricing kernel specification is restricted by preference theory. We approximate the true asset pricing kernel for monetary assets by considering consumption-based and Fama-French asset pricing models in which the consumer is assumed to have inter-temporally non-separable preference. We study the classical consumption-based kernels and multifactor (Fama-French) kernels in our asset pricing models. Our results suggest that the multi-factor pricing kernels with nonlinearity and non-separable utility specifications have significantly improved performance.
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- Economics Dissertations and Theses [169]
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