Grishchenko, Olesya V.; Rossi, Marco - In: Journal of Business & Economic Statistics 30 (2012) 2, pp. 297-311
In this article we use a novel clustering approach to study the role of heterogeneity in asset pricing. We present evidence that the equity premium is consistent with a stochastic discount factor (SDF) calculated as the average of the household clusters’ intertemporal marginal rates of...