Essays about: "Stochastic Discount Factor"

Found 4 essays containing the words Stochastic Discount Factor.

  1. 1. Preparing for a pandemic - a theoretical perspective on the trade-offs of unconventional monetary policy

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Carl Sandström; [2021]
    Keywords : DSGE; financial frictions; monetary policy; pandemic; Euro Area; probability of default; Business and Economics;

    Abstract : As the COVID-19 pandemic spread across the globe, unprecedented policy measures were implemented by central banks and governments to dampen the effect on the real economy. Alongside the spread of the pandemic, research regarding how to simulate similar effects of the virus on the real economy and how to formulate optimal policy began spreading at an equal pace. READ MORE

  3. 2. Pricing power and time-variation of global factor proxies

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Usama Malik; [2020]
    Keywords : international asset pricing; financial integration; Stochastic Discount Factor; pricing power; time-variation; Business and Economics;

    Abstract : The marginal pricing power and individual impact of proxies used in international asset pricing and financial integration studies is not well researched. In this study I look at the most widely used proxies; i.e. World Index Return, change in Eurodollar rate, change in spread between 10-year U. READ MORE

  4. 3. Nonparametric Asset Pricing with Conditioning Information

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Christoffer Sjöström; Dominik Schmitz; [2018]
    Keywords : Conditional Asset Pricing; Nonparametric SDF; Nonlinear Pricing Kernel; Stochastic Discount Factor; Time-varying Betas;

    Abstract : This study sets out to be the very first in introducing the notion of a nonlinear pricing kernel in conditional asset pricing for the Swedish equity market. By implementing a flexible nonparametric methodology, we are able to conduct tests that are completely free from functional form specifications of time-varying betas, risk premia and the stochastic discount factor. READ MORE

  5. 4. Winning with IVOL

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Anton Kristiansson; Sebastian Vogel; [2015]
    Keywords : idiosyncratic risk; asset pricing; stochastic discount factor; limits to arbitrage; IVOL;

    Abstract : Idiosyncratic volatility has an increasing effect on returns. This increasing effect is strongest for small stocks, which can be explained by investors' underdiversification. Previous studies that found a decreasing effect did not control for the low-beta anomaly. READ MORE