The Journal of Business, Vol. 79, No. 2 (March 2006), pp. 941-961 (21 pages) In this paper, we construct a new variance bound on any stochastic discount factor (SDF) of the form \documentclass{aastex} ...

This paper provides folk theorems for infinitely repeated games where the discount factor is stochastic. When discount factors are independently distributed and the current discount factor is ...

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by ...

In the academic literature on predicting asset values, researchers have proposed hundreds of factors to explain an individual stock’s return. “Our results suggest that the empirical asset-pricing ...

Standard asset pricing models reconcile high equity premia with smooth risk-free rates by inducing an inverse functional relationship between the mean and the variance of the stochastic discount ...