Testing the boundaries of applicability of standard Stochastic Discount Factor models
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DOI: 10.1016/j.jfs.2024.101268
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More about this item
Keywords
Small stocks; Recessionary/volatile periods; Stochastic discount factor; Risk premium; Non-parametric test;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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