Horizon Effects in the Pricing Kernel: How Investors Price Short-Term Versus Long-Term Risks
研究发现投资者对短期和长期股市结果的定价方式不同，通过引入预期远期定价核并分解长期定价核，利用指数期权数据发现1个月期定价核呈U形，而剔除其影响后的预期远期定价核与标准长期风险模型一致。
Abstract We show that investors price short-term stock market outcomes very different from outcomes that occur further into the future. To this end, we introduce the expected forward pricing kernel and decompose long-term pricing kernels into short-term and expected forward pricing kernels. Using index options, we find that kernels with maturities of up to 12 months are U-shaped and show that this results from the shape of the 1-month pricing kernel. Once we remove the impact of the 1-month kernel, the expected forward kernels are in line with standard long-run risk models in terms of their shape, level, and time-series variation.