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Published in 2018 at "Economic Theory"
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…
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Keywords:
cross sectional;
asset pricing;
quantitative puzzles;
equity premium ... See more keywords