A stochastic discount factor approach to asset pricing using panel data

Detalhes bibliográficos
Autor(a) principal: Araújo, Fabio
Data de Publicação: 2006
Outros Autores: Issler, João Victor, Fernandes, Marcelo
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/715
Resumo: 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 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.
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spelling Araújo, FabioIssler, João VictorFernandes, MarceloEscolas::EPGEFGV2008-05-13T15:31:25Z2008-05-13T15:31:25Z2006-11-010104-8910http://hdl.handle.net/10438/715Using 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.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;628Stochastic discount factorCommon featuresEconomiaEconomiaAnálise estocásticaAtivos (Contabilidade)A stochastic discount factor approach to asset pricing using panel datainfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINAL2140.pdfapplication/pdf251343https://repositorio.fgv.br/bitstreams/8e27206e-65ca-4db2-ab23-9c334f5d6f67/downloadf1492db6c37fa5543e0f11d3a079caf4MD51TEXT2140.pdf.txt2140.pdf.txtExtracted texttext/plain33476https://repositorio.fgv.br/bitstreams/887e0248-f11d-4874-b5a1-97c0900f9d1d/download8c07bdf5e364f6993dec9583c6398af1MD56THUMBNAIL2140.pdf.jpg2140.pdf.jpgGenerated Thumbnailimage/jpeg3305https://repositorio.fgv.br/bitstreams/c342754f-49f8-44ce-b7ea-5d5e58264d1c/download027192b0d22338dddb9ccc3f07de4676MD5710438/7152023-11-08 18:54:49.408open.accessoai:repositorio.fgv.br:10438/715https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-08T18:54:49Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv A stochastic discount factor approach to asset pricing using panel data
title A stochastic discount factor approach to asset pricing using panel data
spellingShingle A stochastic discount factor approach to asset pricing using panel data
Araújo, Fabio
Stochastic discount factor
Common features
Economia
Economia
Análise estocástica
Ativos (Contabilidade)
title_short A stochastic discount factor approach to asset pricing using panel data
title_full A stochastic discount factor approach to asset pricing using panel data
title_fullStr A stochastic discount factor approach to asset pricing using panel data
title_full_unstemmed A stochastic discount factor approach to asset pricing using panel data
title_sort A stochastic discount factor approach to asset pricing using panel data
author Araújo, Fabio
author_facet Araújo, Fabio
Issler, João Victor
Fernandes, Marcelo
author_role author
author2 Issler, João Victor
Fernandes, Marcelo
author2_role author
author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Araújo, Fabio
Issler, João Victor
Fernandes, Marcelo
dc.subject.por.fl_str_mv Stochastic discount factor
Common features
topic Stochastic discount factor
Common features
Economia
Economia
Análise estocástica
Ativos (Contabilidade)
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Economia
Análise estocástica
Ativos (Contabilidade)
description 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 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.
publishDate 2006
dc.date.issued.fl_str_mv 2006-11-01
dc.date.accessioned.fl_str_mv 2008-05-13T15:31:25Z
dc.date.available.fl_str_mv 2008-05-13T15:31:25Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/715
dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
url http://hdl.handle.net/10438/715
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;628
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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