When Do Cross-Sectional Asset Pricing Factors Span the Stochastic Discount Factor?
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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
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美国国家经济研究局创建时间：
2023-05-01
