A stochastic discount factor approach to asset pricing using panel data

dc.contributorEscolas::EPGE
dc.contributorFGV
dc.creatorAraújo, Fabio
dc.creatorIssler, João Victor
dc.creatorFernandes, Marcelo
dc.date.accessioned2008-05-13T15:31:25Z
dc.date.accessioned2019-05-22T14:36:07Z
dc.date.available2008-05-13T15:31:25Z
dc.date.available2019-05-22T14:36:07Z
dc.date.created2008-05-13T15:31:25Z
dc.date.issued2006-11-01
dc.identifier0104-8910
dc.identifierhttp://hdl.handle.net/10438/715
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/2696002
dc.description.abstractUsing the Pricing Equation, in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) mimicking portfolio which relies on the fact that its logarithm is the ìcommon featureîin every asset return of the economy. Our estimator is a simple function of asset returns and does not depend on any parametric function representing preferences, making it suitable for testing di§erent preference speciÖcations or investigating intertemporal substitution puzzles.
dc.languageeng
dc.publisherEscola de Pós-Graduação em Economia da FGV
dc.relationEnsaios Econômicos;628
dc.subjectStochastic discount factor
dc.subjectCommon features
dc.titleA stochastic discount factor approach to asset pricing using panel data
dc.typeDocumentos de trabajo


Este ítem pertenece a la siguiente institución