Browsing FGV EPGE - Ensaios Econômicos by Title "The forward and the equity-premium puzzles: a straightforward test of whether they are two symptoms of the same illness"

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The forward and the equity-premium puzzles: a straightforward test of whether they are two symptoms of the same illness

Costa, Carlos Eugênio da; Issler, João Victor; Matos, Paulo Rogério Faustino
2013-04-04

We 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 ...