Higher-moment stochastic discount factor specifications and the cross-section of asset returns

Doctoral thesis English OPEN
Wang, Dengli;
(2013)
  • Publisher: Dublin City University. DCU Business School
  • Subject: Finance | stochastic discount factor model; CAPM; Asset Pricing

The stochastic discount factor model provides a general framework for pricing assets. A suitably specified discount factor encompasses most of the theories currently in use, including the CAPM, consumption CAPM, higher-moment CAPM and their conditional versions. In t... View more
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