Timeline for Question about pricing kernel definition in "Quality minus junk" paper
Current License: CC BY-SA 4.0
6 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Apr 21 at 18:18 | vote | accept | Newbie | ||
| Apr 21 at 13:07 | comment | added | KaiSqDist | Hi, if you feel my response has helped you, you can give an upvote (if you haven't done so) or accept it as the solution (if it answered your question). :) | |
| Apr 12 at 17:09 | comment | added | KaiSqDist | Honestly not sure (plus I do not think it is possible to figure out based on the information you have provided), it might be good to read up on the proof for the pricing kernel of the CAPM. | |
| Apr 12 at 16:41 | comment | added | Newbie | Thanks @KaiSqDist!, I saw you mentioned that the innovation term $e^M_{t+1}$ captures the random component in the change/evolution of the stochastic discount factor over time. I'm still a bit unclear on how this innovation term directly relates to the CAPM model specification shown in This euqation. Could you provide some intuition on why and how the random fluctuations in the stochastic discount factor dynamics are specifically expressed in terms of the market risk premium and deviations of the market return, as per the CAPM equation? | |
| Apr 12 at 12:18 | history | edited | KaiSqDist | CC BY-SA 4.0 |
formulas
|
| Apr 12 at 12:07 | history | answered | KaiSqDist | CC BY-SA 4.0 |
