An Extended Stein’s Lemma for Asset Pricing

Stein’s lemma is extended to the case where asset returns have skewed and leptokurticdistributions. The risk premium is still the negative of the covariance of theexcess return with the log SDF.[...] Paul Söderlind]

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Year of publication:	2008-08-08
Authors:	Söderlind, Paul
Institutions:	Swiss National Centre of Competence in Research North South <Bern>
Subject:	Risikoprämie \| Diskontierungsfaktor \| discount factor

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Extent:	220160 bytes 8 p. application/pdf
Series:	FINRISK Working Paper Series Working Paper No. 496
Type of publication:	Book / Working Paper
Language:	English
Classification:	G12 - Asset Pricing ; Subject matter and research method of business administration ; Corporate finance and investment policy. General ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005868919