Testing the boundaries of applicability of standard Stochastic Discount Factor models
Year of publication: |
2024
|
---|---|
Authors: | Pezzo, Luca ; Zhu, Yinchu ; Hassan, M. Kabir ; Tian, Jiayuan |
Published in: |
Journal of financial stability. - Amsterdam [u.a.] : Elsevier, ISSN 1572-3089, ZDB-ID 2165108-5. - Vol. 72.2024, Art.-No. 101268, p. 1-13
|
Subject: | Non-parametric test | Recessionary/volatile periods | Risk premium | Small stocks | Stochastic discount factor |
-
Consumption-based macroeconomic models of asset pricing theory
Đorđević, Marija, (2016)
-
Asset pricing and Machine Learning : a critical review
Bagnara, Matteo, (2024)
-
Factor models, machine learning, and asset pricing
Giglio, Stefano, (2022)
- More ...
-
When the Risk Premium Is Negative
Pezzo, Luca, (2020)
-
Hippler, William J., (2020)
-
Syed Mabruk Billah, (2024)
- More ...