Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Author "Matos, Paulo Rogério Faustino"
Now showing items 1-8 of 8
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Do equity and foreign currency risk premiums display common patterns?
2006-11-24In da Costa et al. (2006) we have shown how a same pricing kernel can account for the excess returns of the S&:P500 over the US short term bond and of the uncovered over the covered trading of foreign government bonds. In ... -
Essays on the relationship between the equity and the forward premium puzzles
2006Our research agenda consists in showing this strong relation between these puzzles based on evidences that both empirical failures are related to the incapacity of the canonical CCAPM to provide a high volatile intertemporal ... -
The forward and the equity-premium puzzles: a straightforward test of whether they are two symptoms of the same illness
2013-04-04We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based ... -
The forward- and the equity-premium puzzles: two symptoms of the same illness?
2010-11-05Using 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 ... -
The forward- and the equity-premium puzzles: two symptoms of the same illness?
2007-08-01In this paper we revisit the relationship between the equity and the forward premium puzzles. We construct return-based stochastic discount factors under very mild assumptions and check whether they price correctly the ... -
The forward- and the equity-premium puzzles: two symptoms of the same illness?
2009-08-12We build a pricing kernel using only US domestic assets data and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our stochastic discount factor as the ... -
The forward- and the equity-premium puzzles: two symptoms of the same illness?
2012-04-24Using 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 ... -
A note on the forward and the equity-premium puzzles: two symptoms of the same illness?
2013-07-12We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based ...
