When Do Cross-Sectional Asset Pricing Factors Span the Stochastic Discount Factor?
收藏NBER2023-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w31275
下载链接
链接失效反馈官方服务：
资源简介：
When expected returns are linear in asset characteristics, the stochastic discount factor (SDF) that prices individual stocks can be represented as a factor model with GLS cross-sectional regression slope factors. Factors constructed heuristically by aggregating individual stocks into
提供机构：
美国国家经济研究局
创建时间：
2023-05-01
