Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification

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Título :	Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification
Palabras clave :	Equilibrium;arbitrage;stochastic discount factor;equity premium puzzle;applied microeconomics
Editorial :	Facultad de Finanzas, Gobierno y Relaciones Internacionales
Descripción :	This article analyses the stochastic discount factor (SDF) both from the equilibrium perspective, where it appears as a marginal rate of substitution, and from the arbitrage perspective, where it appears as the Radon – Nikodym derivative which allows for a change in the probability measurable space. Its study entails the use of a power utility function, deriving the marginal rate of substitution and the application of the model to Colombian time series. As a result, we confirm the existence of the equity premium puzzle.
URI :	http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/100354
Otros identificadores :	https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324
Aparece en las colecciones:	Centro de Investigaciones y Proyectos Especiales - CIPE/UEXTERNADO - Cosecha

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