Essays on Asset Pricing with Stochastic Discount Factors: New Insights on ConsumptionBased Asset Pricing and Portfolio Performa,Used

Essays on Asset Pricing with Stochastic Discount Factors: New Insights on ConsumptionBased Asset Pricing and Portfolio Performa,Used

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Brand: LAP Lambert Academic Publishing
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Many financial models are evaluated using the stochastic discount factor (SDF) approach because of its simplicity, flexibility and universality. The two essays of this work exploit these characteristics to reexamine two longstanding asset pricing topics: consumptionbased and performance measurement models. The first essay develops a methodology to understand and compare the sources of pricing errors in models based on SDF moments. The method allows a new investigation of preferencebased explanations of the riskfree rate, term premium and risk premium puzzles. The second essay presents a method to measure performance evaluation by developing bounds on admissible performance measures that are free from inference errors. The bounds are furthermore used in ranking mutual funds and as a diagnostic instrument for evaluating candidate performance measures. Each essay carefully establishes the empirical relevancy of the proposed methodologies. These extensions of the SDF framework provide important new insights and have numerous finance applications for academic researchers and practitioners.

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