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    Pricing Kernel Specification for User Cost of Monetary Assets

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    ZHOU_ku_0099D_10944_DATA_1.pdf (883.6Kb)
    Issue Date
    2007-04-27
    Author
    Zhou, Wei
    Publisher
    University of Kansas
    Format
    118 pages
    Type
    Dissertation
    Degree Level
    Ph.D.
    Discipline
    Economics
    Rights
    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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    Abstract
    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.
    URI
    http://hdl.handle.net/1808/7404
    Collections
    • Dissertations [4475]
    • Economics Dissertations and Theses [169]

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    785-864-8983
    KU Libraries
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    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
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    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

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