Browsing FGV EPGE - Ensaios Econômicos by Subject "Ativos (Contabilidade)"

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A stochastic discount factor approach to asset pricing using panel data

Araújo, Fabio; Issler, João Victor; Fernandes, Marcelo
2006-11-01

Using 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 ...
A stochastic discount factor approach to asset pricing using panel data asymptotics

Araújo, Fabio; Issler, João Victor
2011-05-27

Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the 'common feature' in every asset ...