Titulo:
Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification
.
Guardado en:
1794-1113
2346-2140
2011-07-01
info:eu-repo/semantics/openAccess
http://purl.org/coar/access_right/c_abf2
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metarevistapublica_uexternado_revistaodeon_39_article_3324 |
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ojs |
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Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification 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. 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. Forero Laverde, Germán Equilibrium arbitrage stochastic discount factor equity premium puzzle applied microeconomics 6 Artículo de revista Journal article 2011-07-01T00:00:00Z 2011-07-01T00:00:00Z 2011-07-01 application/pdf Universidad Externado de Colombia ODEON 1794-1113 2346-2140 https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324 https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324 eng https://creativecommons.org/licenses/by-nc-sa/4.0/ https://revistas.uexternado.edu.co/index.php/odeon/article/download/3324/2974 info:eu-repo/semantics/article http://purl.org/coar/resource_type/c_6501 http://purl.org/redcol/resource_type/ARTREF info:eu-repo/semantics/publishedVersion http://purl.org/coar/version/c_970fb48d4fbd8a85 info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2 Text Publication |
| institution |
UNIVERSIDAD EXTERNADO DE COLOMBIA |
| thumbnail |
https://nuevo.metarevistas.org/UNIVERSIDADEXTERNADODECOLOMBIA/logo.png |
| country_str |
Colombia |
| collection |
Revista ODEON |
| 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 Forero Laverde, Germán 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 |
| title_eng |
Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification |
| description_eng |
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.
|
| author |
Forero Laverde, Germán |
| author_facet |
Forero Laverde, Germán |
| topic |
Equilibrium arbitrage stochastic discount factor equity premium puzzle applied microeconomics |
| topic_facet |
Equilibrium arbitrage stochastic discount factor equity premium puzzle applied microeconomics |
| citationissue |
6 |
| publisher |
Universidad Externado de Colombia |
| ispartofjournal |
ODEON |
| source |
https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324 |
| language |
eng |
| format |
Article |
| rights |
https://creativecommons.org/licenses/by-nc-sa/4.0/ info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2 |
| type_driver |
info:eu-repo/semantics/article |
| type_coar |
http://purl.org/coar/resource_type/c_6501 |
| type_version |
info:eu-repo/semantics/publishedVersion |
| type_coarversion |
http://purl.org/coar/version/c_970fb48d4fbd8a85 |
| type_content |
Text |
| publishDate |
2011-07-01 |
| date_accessioned |
2011-07-01T00:00:00Z |
| date_available |
2011-07-01T00:00:00Z |
| url |
https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324 |
| url_doi |
https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324 |
| issn |
1794-1113 |
| eissn |
2346-2140 |
| url2_str_mv |
https://revistas.uexternado.edu.co/index.php/odeon/article/download/3324/2974 |
| _version_ |
1811199255443931136 |