An Extended Stein's Lemma for Asset Pricing
Journal
Applied Economics Letters
ISSN
1350-4851
ISSN-Digital
1466-4291
Type
journal article
Date Issued
2009-06-24
Author(s)
Abstract
Stein's lemma is extended to the case where asset returns have skewed and leptokurtic distributions. The risk premium is still the negative of the covariance of the excess return with the log stochastic discount factor. The risk-neutral distribution has a simple form but is a nontrivial transformation of the physical distribution.
Language
English
HSG Classification
not classified
Refereed
Yes
Publisher
Routledge
Publisher place
Abingdon
Volume
16
Number
10
Start page
1005
End page
1008
Pages
4
Subject(s)
Division(s)
Eprints ID
49661
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SteinExtended200705.pdf
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