{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T07:31:54Z","timestamp":1791531114319,"version":"4.3.4"},"reference-count":31,"publisher":"Wiley","issue":"2","license":[{"start":{"date-parts":[[2014,10,10]],"date-time":"2014-10-10T00:00:00Z","timestamp":1412899200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2016,3]]},"abstract":"<jats:title>Summary<\/jats:title><jats:p>A large class of asset pricing models predicts that securities which have high payoffs when market returns are low tend to be more valuable than those with high payoffs when market returns are high. More generally, we expect the projection of the stochastic discount factor on the market portfolio\u2014that is, the discounted pricing kernel evaluated at the market portfolio\u2014to be a monotonically decreasing function of the market portfolio. Numerous recent empirical studies appear to contradict this prediction. The non\u2010monotonicity of empirical pricing kernel estimates has become known as the pricing kernel puzzle. In this paper we propose and apply a formal statistical test of pricing kernel monotonicity. We apply the test using 17 years of data from the market for European put and call options written on the S&amp;P 500 index. Statistically significant violations of pricing kernel monotonicity occur in a substantial proportion of months, suggesting that observed non\u2010monotonicities are unlikely to be the product of statistical noise. Copyright \u00a9 2014 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2422","type":"journal-article","created":{"date-parts":[[2014,10,10]],"date-time":"2014-10-10T11:05:31Z","timestamp":1412939131000},"page":"338-356","source":"Crossref","is-referenced-by-count":50,"title":["An Empirical Test of Pricing Kernel Monotonicity"],"prefix":"10.1002","volume":"31","author":[{"given":"Brendan K.","family":"Beare","sequence":"first","affiliation":[{"name":"Department of Economics University of California  San Diego, CA USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Lawrence D. 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