On Kernels and Sentiment
Preprint
- 1 January 2001
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
The paper analyzes the manner in which sentiment affects the pricing kernel. Sentiment is another term for traders' errors. There are two main questions addressKeywords
This publication has 79 references indexed in Scilit:
- Optimal positioning in derivative securitiesQuantitative Finance, 2001
- Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual InvestorsThe Journal of Finance, 2000
- A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-reactionsSSRN Electronic Journal, 1997
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency OptionsThe Review of Financial Studies, 1993
- The Multinomial Option Pricing Model and Its Brownian and Poisson LimitsThe Review of Financial Studies, 1989
- On the Consistency of the Black-Scholes Model with a General Equilibrium FrameworkJournal of Financial and Quantitative Analysis, 1987
- Real and Nominal Interest Rates under Uncertainty: The Fisher Theorem and the Term StructureJournal of Political Economy, 1983
- Mean-Variance Theory in Complete MarketsThe Journal of Business, 1982
- Judgment under Uncertainty: Heuristics and BiasesScience, 1974
- Belief in the law of small numbers.Psychological Bulletin, 1971