Evaluating Government Bond Fund Performance with Stochastic Discount Factors

SSRN Electronic Journal ◽

10.2139/ssrn.488165 ◽

2003 ◽

Cited By ~ 4

Author(s):

Wayne E. Ferson ◽

Tyler R. Henry ◽

Darren J. Kisgen

Keyword(s):

Fund Performance ◽

Government Bond ◽

Discount Factors ◽

Stochastic Discount Factors ◽

Bond Fund

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Evaluating Government Bond Fund Performance with Stochastic Discount Factors

Review of Financial Studies ◽

10.1093/rfs/hhj015 ◽

2006 ◽

Vol 19 (2) ◽

pp. 423-455 ◽

Cited By ~ 81

Author(s):

Wayne Ferson ◽

Tyler R. Henry ◽

Darren J. Kisgen

Keyword(s):

Fund Performance ◽

Government Bond ◽

Discount Factors ◽

Stochastic Discount Factors ◽

Bond Fund

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Evaluating Fixed Income Fund Performance with Stochastic Discount Factors

SSRN Electronic Journal ◽

10.2139/ssrn.424346 ◽

2003 ◽

Cited By ~ 7

Author(s):

Wayne E. Ferson ◽

Darren J. Kisgen ◽

Tyler Henry

Keyword(s):

Fund Performance ◽

Fixed Income ◽

Discount Factors ◽

Stochastic Discount Factors

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Empirical Likelihood Estimators for Stochastic Discount Factors

SSRN Electronic Journal ◽

10.2139/ssrn.1102396 ◽

2008 ◽

Cited By ~ 5

Author(s):

Caio Almeida ◽

René Garcia

Keyword(s):

Empirical Likelihood ◽

Discount Factors ◽

Stochastic Discount Factors

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Bounds on the Autocorrelation of Admissible Stochastic Discount Factors

SSRN Electronic Journal ◽

10.2139/ssrn.676744 ◽

2004 ◽

Author(s):

Stéphane Chrétien

Keyword(s):

Discount Factors ◽

Stochastic Discount Factors

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International stochastic discount factors and covariance risk

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2020.106018 ◽

2021 ◽

Vol 123 ◽

pp. 106018

Author(s):

Nicole Branger ◽

Michael Herold ◽

Matthias Muck

Keyword(s):

Discount Factors ◽

Stochastic Discount Factors

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Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings

SSRN Electronic Journal ◽

10.2139/ssrn.1297403 ◽

2008 ◽

Cited By ~ 1

Author(s):

Jing-Zhi Huang ◽

Ying Wang

Keyword(s):

Government Bond ◽

Fund Managers ◽

Portfolio Holdings ◽

Timing Ability ◽

Bond Fund

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Measuring Time-Varying Economic Fears with Consumption-Based Stochastic Discount Factors

SSRN Electronic Journal ◽

10.2139/ssrn.1003126 ◽

2007 ◽

Author(s):

Belen Nieto ◽

Gonzalo A. Rubio

Keyword(s):

Time Varying ◽

Measuring Time ◽

Discount Factors ◽

Stochastic Discount Factors

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Algebra of Stochastic Discount Factors — The Structural Theory of Asset Pricing (Part II)

Asset Pricing ◽

10.1142/9789812832504_0003 ◽

2008 ◽

pp. 31-56

Keyword(s):

Asset Pricing ◽

Structural Theory ◽

Discount Factors ◽

Stochastic Discount Factors

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Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies

SSRN Electronic Journal ◽

10.2139/ssrn.720501 ◽

2006 ◽

Author(s):

Peter P. Carr ◽

Liuren Wu ◽

Gurdip S. Bakshi

Keyword(s):

Currency Options ◽

Risk Premiums ◽

Discount Factors ◽

Stochastic Discount Factors ◽

Stochastic Risk ◽

International Economies

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Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies

Journal of Financial Economics ◽

10.1016/j.jfineco.2006.12.001 ◽

2008 ◽

Vol 87 (1) ◽

pp. 132-156 ◽

Cited By ~ 122

Author(s):

Gurdip Bakshi ◽

Peter Carr ◽

Liuren Wu

Keyword(s):

Currency Options ◽

Risk Premiums ◽

Discount Factors ◽

Stochastic Discount Factors ◽

Stochastic Risk ◽

International Economies

Download Full-text