Can Stochastic Discount Factor Models Explain the Cross Section of Equity Returns?

Abhakorn, Pongrapeeporn, Smith, Peter Nigel orcid.org/0000-0003-2786-7192 and Wickens, Mike (2016) Can Stochastic Discount Factor Models Explain the Cross Section of Equity Returns? Review of Financial Economics. pp. 56-68. ISSN 1058-3300

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Copyright, Publisher and Additional Information: © 2016 Elsevier Inc. All rights reserved. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
Keywords: Risk Premium; Equity Return; Stochastic Discount Factor; No-arbitrage,Risk premium,No-arbitrage condition,Equity return,Stochastic discount factor,Economics and Econometrics,Finance
Dates:
  • Published: January 2016
  • Published (online): 7 January 2016
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 25 Jan 2016 14:06
Last Modified: 26 May 2020 23:11
Published Version: https://doi.org/10.1016/j.rfe.2016.01.001
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.rfe.2016.01.001
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