Econometric Evaluation of Asset Pricing Models —— August, 1993

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ISBN: 9781330278338 出版年：2016 页码：68 Lars Peter Hansen Forgotten Books

Thus a stochastic discount factor m discounts payoffs in each state of the world and, as a consequence, adjusts the price according to the riskiness of the payoff. From the vantage point of an empirical analysis, we envision the stochastic discount factor as the vehicle linking a theoretical model to observable implications.