英文标题：
《On pricing kernels, information and risk》
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作者：
D.L. Wilcox and T.J.Gebbie
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最新提交年份：
2013
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英文摘要：
We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general no-arbitrage conditions, we argue that evidence in favour of characteristic based pricing implies that information is more likely assimilated by means of nonlinear pricing kernels for the markets considered.
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中文摘要：
我们在分析JSE上市股票的股权收益时，讨论了基于横截面特征的模型产生的投资组合，其超额月收益率较高，但风险低于套利定价理论对应的投资组合。在一般无套利条件的假设下，我们认为支持基于特征的定价的证据表明，对于所考虑的市场，信息更可能通过非线性定价核被吸收。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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