Costa, Carlos E. da; Issler, João Victor; Matos, Paulo F. - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2010
Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our SDF as the projection of a pricing kernel from a fully specified model...