Evaluating Asset Pricing Models in a Fama-French Framework

  • Wagner Piazza Gaglianoney
  • Published 2008

Abstract

In this work we propose a new methodology to compare di¤erent stochastic discount factor (SDF) proxies based on relevant market information. The starting point is the work of Fama and French, which evidenced that the asset returns of the U.S. economy could be explained by relative factors linked to characteristics of the …rms. In this sense, we construct a… (More)

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