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A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data

  • Araújo, Fabio
  • Issler, João Victor
  • Fernandes, Marcelo

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Paper provided by FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its series Economics Working Papers (Ensaios Economicos da EPGE) with number 628.

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Date of creation: 01 Nov 2006
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Handle: RePEc:fgv:epgewp:628
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  2. Lars Peter Hansen & Ravi Jagannathan, 1990. "Implications of security market data for models of dynamic economies," Discussion Paper / Institute for Empirical Macroeconomics 29, Federal Reserve Bank of Minneapolis.
  3. Rubens Penha Cysne, 2006. "Income Inequality in a Job-Search Model With Heterogeneous Discount Factors," Economia, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 7(2), pages 217-224.
  4. João Victor Issler & Afonso Arinos de Mello Franco & Osmani Teixeira de Carvalho Guillén, 2006. "The Welfare Cost of Macroeconomic Uncertainty in the Post-War Period," IBMEC RJ Economics Discussion Papers 2006-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  5. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
  6. Bai, Jushan & Ng, Serena, 2006. "Evaluating latent and observed factors in macroeconomics and finance," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 507-537.
  7. I. Bajeux-Besnainou & R. Portait, 1997. "The numeraire portfolio: a new perspective on financial theory," The European Journal of Finance, Taylor & Francis Journals, vol. 3(4), pages 291-309.
  8. Samuel de Abreu Pessoa & Fernando A. Veloso & Pedro Cavalcanti Ferreira, 2008. "The Evolution of TFP in Latin America," 2008 Meeting Papers 633, Society for Economic Dynamics.
  9. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-95, October.
  10. Svaiter, Benar Fux & Monteiro, Paulo Klinger & Page Junior, Frank H., 2006. "Exclusão e multidimensionalidade de tipos em leilões ótimos," Economics Working Papers (Ensaios Economicos da EPGE) 623, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  11. Chamberlain, Gary & Rothschild, Michael, 1982. "Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets," Scholarly Articles 3230355, Harvard University Department of Economics.
  12. Ricardo de O. Cavalcanti & Ed Nosal, 2005. "Some benefits of cyclical monetary policy," Working Paper 0511, Federal Reserve Bank of Cleveland.
  13. Connor, Gregory & Korajczyk, Robert A., 1986. "Performance measurement with the arbitrage pricing theory : A new framework for analysis," Journal of Financial Economics, Elsevier, vol. 15(3), pages 373-394, March.
  14. Richard Blundell & Martin Browning & Costas Meghir, 1993. "Consumer demand and the life-cycle allocation of household expenditures," IFS Working Papers W93/11, Institute for Fiscal Studies.
  15. Monteiro, Paulo Klinger, 2006. "First-Price Auction Symmetric Equilibria with a General Distribution," Economics Working Papers (Ensaios Economicos da EPGE) 616, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  16. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics.
  17. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-.
  18. M. Hashem Pesaran, 2004. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," CESifo Working Paper Series 1331, CESifo Group Munich.
  19. Neri, Marcelo Cortes & Moura, Rodrigo Leandro de, 2005. "La institucionalidad del salario mínimo en Brasil," Economics Working Papers (Ensaios Economicos da EPGE) 607, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  20. Cysne, Rubens Penha, 2006. "An Intra-Household Approach to the Welfare Costs of Inflation (Revised Version, Forthcoming 2006, Estudos Econômicos)," Economics Working Papers (Ensaios Economicos da EPGE) 612, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  21. Araújo, Aloísio Pessoa de & Funchal, Bruno, 2006. "How much debtors' punishment?," Economics Working Papers (Ensaios Economicos da EPGE) 615, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  22. Martin Lettau & Sydney Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York.
  23. Robert F. Engle & Sharon Kozicki, 1990. "Testing For Common Features," NBER Technical Working Papers 0091, National Bureau of Economic Research, Inc.
  24. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
  25. Moura, Rodrigo Leandro de & Neri, Marcelo Cortes, 2006. "Impactos da Nova Lei de Pisos Salariais Estaduais," Economics Working Papers (Ensaios Economicos da EPGE) 625, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  26. Sydney Ludvigson & Xiaohong Chen, 2004. "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models," 2004 Meeting Papers 692, Society for Economic Dynamics.
  27. Casey B. Mulligan, 2002. "Capital, Interest, and Aggregate Intertemporal Substitution," NBER Working Papers 9373, National Bureau of Economic Research, Inc.
  28. Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
  29. Flôres Junior, Renato Galvão & Watanuki, Masakazu, 2006. "Is China a Northern Partner to Mercosul?," Economics Working Papers (Ensaios Economicos da EPGE) 617, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  30. Hansen, Lars Peter & Richard, Scott F, 1987. "The Role of Conditioning Information in Deducing Testable," Econometrica, Econometric Society, vol. 55(3), pages 587-613, May.
  31. Renato G. Fl�res & Maria Paula Fontoura & Rog�rio Guerra Santos, 2007. "Foreign Direct Investment Spillovers in Portugal: Additional Lessons from a Country Study," The European Journal of Development Research, Taylor and Francis Journals, vol. 19(3), pages 372-390.
  32. Flôres Junior, Renato Galvão & Watanuki, Masakazu, 2006. "Integration Options for Mercosul - An Investigation Using the AMIDA Model," Economics Working Papers (Ensaios Economicos da EPGE) 610, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  33. Hansen, Lars Peter & Singleton, Kenneth J, 1983. "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 249-65, April.
  34. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  35. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
  36. Monteiro, Paulo Klinger & Page Junior, Frank H., 2006. "Resultados uniformemente seguros e equilíbrio de Nash em jogos compactos," Economics Working Papers (Ensaios Economicos da EPGE) 621, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  37. Pessoa, Samuel de Abreu, 2006. "Perspectivas de Crescimento no Longo Prazo para o Brasil: Questões em Aberto," Economics Working Papers (Ensaios Economicos da EPGE) 609, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  38. Ferreira, Pedro Cavalcanti Gomes & Nascimento, Leandro Gonçalves do, 2005. "Welfare and Growth Effects of Alternative Fiscal Rules for Infrastructure Investment in Brazil," Economics Working Papers (Ensaios Economicos da EPGE) 604, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
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