Testing the boundaries of applicability of standard Stochastic Discount Factor models
Luca Pezzo, Yinchu Zhu, M. Kabir Hassan, Jiayuan Tian
| Year of publication: |
2024
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|---|---|
| Authors: | Pezzo, Luca ; Zhu, Yinchu ; Hassan, M. Kabir ; Tian, Jiayuan |
| Published in: |
Journal of financial stability. - Amsterdam [u.a.] : Elsevier, ISSN 1572-3089, ZDB-ID 2165108-5. - Vol. 72.2024, Art.-No. 101268, p. 1-13
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| Subject: | Non-parametric test | Recessionary/volatile periods | Risk premium | Small stocks | Stochastic discount factor | Diskontierung | Discounting | CAPM | Risikoprämie | Theorie | Theory | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfs.2024.101268 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014565271