CAPM-anomalies: quantitative puzzles
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DOI: 10.1007/s00199-018-1137-5
Abstract: The stochastic discount factor is a crucial determinant of the equity premium as well as the cross-sectional distribution of stock returns. This gives rise to the idea that there is a tight link between the… read more here.
Keywords: cross sectional; asset pricing; quantitative puzzles; equity premium ... See more keywords