ADRIAN, TOBIAS; ETULA, ERKKO; MUIR, TYLER - In: Journal of Finance 69 (2014) 6, pp. 2557-2596
type="main" <title type="main">ABSTRACT</title> <p>Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the...</p>