Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns

By Robert F. Dittmar. 2002

853 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/73b9f0a7a949c1fb5180ac9c1da36a97f677dc95

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Massimo Guidolin
2. M. O. Caglayan
3. Stephen J. Brown
4. Pim van Vliet
5. Allan G. Timmermann
6. Turan G. Bali
7. Kristiaan Kerstens
8. Walter Briec

In Finance

1. Massimo Guidolin
2. M. O. Caglayan
3. Stephen J. Brown
4. Allan G. Timmermann
5. Pim van Vliet
6. Turan G. Bali
7. Yacine Belghitar
8. Thierry Post

Citations in the corpus

• Supply Chains Involving a Mean‐Variance‐Skewness‐Kurtosis Newsvendor: Analysis and Coordination (2020, neutral): “As a result, there are proposals to conduct higher-moment analyses (e.g., Dittmar 2002, Jondeau and Rockinger 2012, Kadan and Liu 2014).”
• Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk (2006, background): “Bansal and Viswanathan (1993), Bansal, Hsieh, and Viswanathan (1993), and Dittmar (2002) investigate the premium due to portfolio covariance with market volatility (co-skewness) and the premium due to portfolio covariance with market skewness.”
• Downside risk and asset pricing (2004, background): “For example, Kraus and Litzenberger (1976) and Harvey and Siddique (2000) assume that utility can be approximated using a third-order polynomial (to account for skewness), and Dittmar (2002) uses a fourth-order polynomial (to account for skewness and kurtosis).”
• The econometrics of mean-variance efficiency tests: a survey (2009, neutral): “Dittmar (2002), Jondeau and Rockinger (2006), Guidolin and Timmermann (2008) and Chabi-Yo, Ghysels and Renault (2008)), or a specific parametric class of utility functions (see Gourieroux and Monfort (2005)).”
• Hedging and Value at Risk: A Semi-Parametric Approach (2009, background): “A number of authors have also shown that investors have preferences over the higher moments of returns, which is inconsistent with quadratic utility (see, for example, Kraus and Litzenberger, 1976; Fang and Lai, 1997; Dittmar, 2002).”
• Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2008, neutral): “Veronesi assumes exponential utility; this allows for the inclusion of learning but makes it difficult to assess the magnitude of the excess volatility generated through this mechanism.”
• CAPM, Higher Co-moment and Factor Models of UK Stock Returns (2004, neutral): “Kraus and Litzenberger (1976) and more recently Harvey and Siddique (2000) developed asset pricing models incorporating co-skewness terms while Dittmar (2002) developed models incorporating a co-kurtosis term.”
• Portfolio selection with higher moments (2010, neutral): “…other authors have investigated the importance of higher moments in financial applications, including Campbell et al. (2001), Chen et al. (2001), Dittmar (2002), Athayde and Flores (2004), Burger and Warnock (2004), Goetzman and Kumar (2004), Jondeau and Rockinger (2004), Levy and Levy (2004),…”
• Behavioral Finance: Quo Vadis? (2015, neutral): “14 JOURNAL OF APPLIED FINANCE — FALL/WINTER 2008 15DE BONDT, MURADOGLU, SHEFRIN, & STAIKOURAS — BEHAVIORAL FINANCE: QUO VADIS? by the work of Dittmar (2002).”
• Optimal Portfolio Allocation under Higher Moments (2006, neutral): “Further discussion on the conditions that yield such moment preferences or aversions may be found in Pratt and Zeckhauser (1987), Kimball (1993), and Dittmar (2002).”