Construct · 1 fields · 1 citations

stochastic discount factor: a standalone construct

One name. One construct. A landmark on the map.

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Asset pricing

a random variable that prices every asset by discounting its payoffs state by state, so expected discounted payoffs equal current prices.

In asset pricing, stochastic discount factor refers to a random variable that prices every asset by discounting its payoffs state by state, so expected discounted payoffs equal current prices. This meaning comes from Hansen (1987) in Econometrica.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs current3 fields · 6 citationsjingle · one word, three constructs discount3 fields · 4 citationsjingle · one word, three constructs

References

Hansen, L. P., & Richard, S. F. (1987). The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models. Econometrica, 55(3), 587. https://doi.org/10.2307/1913601

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