Browsing FGV EPGE - Ensaios Econômicos by Title "A stochastic discount factor approach to asset pricing using panel data"

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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 ...