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

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....

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Autores:
Forero Laverde, Germán
Tipo de recurso:
Article of journal
Fecha de publicación:
2011
Institución:
Universidad Externado de Colombia
Repositorio:
Biblioteca Digital Universidad Externado de Colombia
Idioma:
eng
OAI Identifier:
oai:bdigital.uexternado.edu.co:001/7375
Acceso en línea:
https://bdigital.uexternado.edu.co/handle/001/7375
https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324
Palabra clave:
Equilibrium
arbitrage
stochastic discount factor
equity premium puzzle
applied microeconomics
Rights
openAccess
License
http://purl.org/coar/access_right/c_abf2
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network_name_str Biblioteca Digital Universidad Externado de Colombia
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spelling Forero Laverde, Germánvirtual::438-12011-07-01 00:00:002022-09-08T13:37:59Z2011-07-01 00:00:002022-09-08T13:37:59Z2011-07-01This 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.application/pdf2346-21401794-1113https://bdigital.uexternado.edu.co/handle/001/7375https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324engFacultad de Finanzas, Gobierno y Relaciones Internacionaleshttps://revistas.uexternado.edu.co/index.php/odeon/article/download/3324/2974Núm. 6 , Año 20116Odeoninfo:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2https://creativecommons.org/licenses/by-nc-sa/4.0/https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324Equilibriumarbitragestochastic discount factorequity premium puzzleapplied microeconomicsStochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specificationStochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specificationArtículo de revistahttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTREFinfo:eu-repo/semantics/publishedVersionPublicationForero Laverdevirtual::438-1Germánvirtual::438-1https://scholar.google.com/citations?user=FNJWyQsAAAAJ&hl=envirtual::438-10000-0001-5215-9409virtual::438-10bf012a4-6871-41a2-b26b-0d4d70048c70virtual::438-10bf012a4-6871-41a2-b26b-0d4d70048c70virtual::438-1OREORE.xmltext/xml2616https://bdigital.uexternado.edu.co/bitstreams/609149e6-7014-4524-8984-acacb9712840/download701e7549846ffff8dd12e34059e59993MD51001/7375oai:bdigital.uexternado.edu.co:001/73752022-10-10 10:40:58.985https://creativecommons.org/licenses/by-nc-sa/4.0/https://bdigital.uexternado.edu.coUniversidad Externado de Colombiametabiblioteca@metabiblioteca.org
dc.title.spa.fl_str_mv Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification
dc.title.translated.eng.fl_str_mv Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification
title Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification
spellingShingle Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification
Equilibrium
arbitrage
stochastic discount factor
equity premium puzzle
applied microeconomics
title_short Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification
title_full Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification
title_fullStr Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification
title_full_unstemmed Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification
title_sort Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification
dc.creator.fl_str_mv Forero Laverde, Germán
dc.contributor.author.none.fl_str_mv Forero Laverde, Germán
dc.subject.eng.fl_str_mv Equilibrium
arbitrage
stochastic discount factor
equity premium puzzle
applied microeconomics
topic Equilibrium
arbitrage
stochastic discount factor
equity premium puzzle
applied microeconomics
description 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.
publishDate 2011
dc.date.accessioned.none.fl_str_mv 2011-07-01 00:00:00
2022-09-08T13:37:59Z
dc.date.available.none.fl_str_mv 2011-07-01 00:00:00
2022-09-08T13:37:59Z
dc.date.issued.none.fl_str_mv 2011-07-01
dc.type.spa.fl_str_mv Artículo de revista
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dc.identifier.url.none.fl_str_mv https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324
identifier_str_mv 2346-2140
1794-1113
url https://bdigital.uexternado.edu.co/handle/001/7375
https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324
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language eng
dc.relation.bitstream.none.fl_str_mv https://revistas.uexternado.edu.co/index.php/odeon/article/download/3324/2974
dc.relation.citationedition.spa.fl_str_mv Núm. 6 , Año 2011
dc.relation.citationissue.spa.fl_str_mv 6
dc.relation.ispartofjournal.spa.fl_str_mv Odeon
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dc.format.mimetype.eng.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv Facultad de Finanzas, Gobierno y Relaciones Internacionales
dc.source.eng.fl_str_mv https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324
institution Universidad Externado de Colombia
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