scholarly journals Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies

2016 ◽  
Author(s):  
Gurdip Bakshi ◽  
Mario Cerrato ◽  
John Crosby
Keyword(s):  
Asset Return ◽  
Discount Factors ◽  
Stochastic Discount Factors ◽  
Return Data ◽  
International Economies

Sind konsumbasierte Kapitalmarktmodelle mit europäischen Wertpapierrenditen vereinbar?

2011 ◽  
Vol 62 (1) ◽  
Author(s):  
Benjamin R. Auer
Keyword(s):  
Capital Asset Pricing ◽  
Power Utility ◽  
Recursive Preferences ◽  
Asset Return ◽  
Asset Pricing Model ◽  
Discount Factors ◽  
Pricing Errors ◽  
Stochastic Discount Factors ◽  
Pricing Error ◽  
Low Degrees

SummaryThis paper analyses whether the consumption based capital asset pricing model is consistent with asset return data from Denmark, Italy, Norway and Austria. The performance of the CCAPM is evaluated by applying the nonparametric methodology of Hansen and Jagannathan (1991) and adopting five alternative specifications of utility. In addition to standard power utility the recursive preferences model proposed by Epstein and Zin (1989) is adopted. Both internal and external habit formation (persistence) using the models proposed by Constantinides (1990), Abel (1990) and Campbell and Cochrane (1999) are also considered. The findings are evaluated using the test of Burnside (1994) and the pricing error measure of Hansen and Jagannathan (1997). It is found that the majority of models produce stochastic discount factors consistent with the data (at mostly low degrees of risk aversion). As far as the pricing errors of the models are concerned the model incorporating recursive utility can be considered best.

Empirical Likelihood Estimators for Stochastic Discount Factors

2008 ◽  
Author(s):  
Caio Almeida ◽  
René Garcia
Keyword(s):  
Empirical Likelihood ◽  
Discount Factors ◽  
Stochastic Discount Factors

International stochastic discount factors and covariance risk

2021 ◽  
Vol 123 ◽  
pp. 106018
Author(s):  
Nicole Branger ◽  
Michael Herold ◽  
Matthias Muck
Keyword(s):  
Discount Factors ◽  
Stochastic Discount Factors

scholarly journals Evaluating Private Equity Performance Using Stochastic Discount Factors

2019 ◽  
Author(s):  
Oleg Gredil ◽  
Morten Sørensen ◽  
William Waller
Keyword(s):  
Private Equity ◽  
Discount Factors ◽  
Stochastic Discount Factors

scholarly journals Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures

2007 ◽  
Vol 37 (1) ◽  
pp. 35-52
Author(s):  
Mark Johnston
Keyword(s):  
Asset Pricing ◽  
Asset Prices ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Marginal Distributions ◽  
Asset Pricing Model ◽  
Discount Factors ◽  
Stochastic Discount Factors ◽  
Normal Copula

The Capital Asset Pricing Model arises in an economy where agents have exponential utility functions and aggregate consumption is normally distributed, and gives the prices of assets with payoffs which are jointly normal with consumption. Such assets have normal marginal distributions and have dependence with consumption characterised by a normal copula. Wang has derived a transform which extends the CAPM by allowing pricing of assets in such an economy which have non-normal marginal distributions but still are normal-copula with consumption.Here we set out the stochastic discount factors corresponding to this version of the CAPM and to Wang’s transform, and show how to calculate stochastic discount factors and hence asset prices for assets whose dependence with consumption is non-normal. We show that the impact of dependency structure on asset prices is significant.

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