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Asset pricing at the millennium
Campbell, John Y. - In: The journal of finance : the journal of the American … 55 (2000) 4, pp. 1515-1567
Persistent link: https://www.econbiz.de/10001505403
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Asset pricing at the millennium
Campbell, John Y. - 2000
Persistent link: https://www.econbiz.de/10001493976
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A critique of the stochastic discount factor methodology
Kan, Raymond; Zhou, Guofu - In: The journal of finance : the journal of the American … 54 (1999) 4, pp. 1221-1248
Persistent link: https://www.econbiz.de/10001395748
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Computational Issues in the Stochastic Discount Factor Framework for Equity Risk Premium
Bhar, Ramaprasad - 2013
The Stochastic Discount Factor (SDF) methodology is a general and convenient framework for asset pricing. SDF encapsulates all the modeling uncertainties and its advantage is that we do not require the knowledge of investors' preferences. Suitable specification of SDF is, therefore, critical. It...
Persistent link: https://www.econbiz.de/10013072800
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Asset Pricing at the Millennium
Campbell, John Y. - 2000
This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work, and …
Persistent link: https://www.econbiz.de/10012471180
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International stochastic discount factors and covariance risk
Branger, Nicole; Herold, Michael; Muck, Matthias - In: Journal of banking & finance 123 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012662322
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Robust asset pricing with stochastic hyperbolic discounting
Wang, Haijun - In: Finance research letters 21 (2017), pp. 178-185
Persistent link: https://www.econbiz.de/10011807766
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The functional stochastic discount factor
Tran, Ngoc-Khanh - In: The quarterly journal of finance 9 (2019) 4, pp. 1-49
Persistent link: https://www.econbiz.de/10012183345
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Testing the boundaries of applicability of standard Stochastic Discount Factor models
Pezzo, Luca; Zhu, Yinchu; Hassan, M. Kabir; Tian, Jiayuan - In: Journal of financial stability 72 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10014565271
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Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
González-Urteaga, Ana; Nieto, Belén; Rubio, Gonzalo - In: Quantitative finance 21 (2021) 5, pp. 713-727
Persistent link: https://www.econbiz.de/10012500183