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 models. By interpreting our SDF as the projection of the pricing kernel...

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our SDF as the projection of a pricing kernel from a fully specified model...

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 models. By interpreting our SDF as the projection of the pricing kernel...

Este artigo se posiciona no debate sobre desigualdade econômica e social entre estados e regiões no Brasil, ao abordar empiricamente as questões associadas à relação entre o mercado de crédito e crescimento aliado à distribuição de renda e geração de bem estar. As principais...

In this paper we revisit the relationship between the equity and the forward premium puzzles. We construct return-based stochastic discount factors under very mild assumptions and check whether they price correctly the equity and the foreign currency risk premiums. We avoid log-linearizations by...