publication . 0044 . 2013

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

Wang, Dengli;
Open Access English
  • Published: 01 Nov 2013
  • Publisher: Dublin City University. DCU Business School
Abstract
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 this thesis, we focus on the empirical admissibility of alternative SDFs under restrictions that ensure that investors’ risk-preferences are well behaved. More innovatively, we explore whether the SDF implied by the 3 and 4-moment CAPM is plausible under restrictions that are weaker than those considered by Dittmar (2002) yet sufficient to rule out implausible curvature of the representative invest...
Subjects
free text keywords: Finance, stochastic discount factor model; CAPM; Asset Pricing
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