Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
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Empirical SDF<br />
Aït-Sahalia and Lo (2000) study<br />
economic VaR for risk management,<br />
and estimate the SDF.<br />
Rosenberg and Engle (2002) also<br />
estimate the SDF.<br />
Both use index option data in<br />
conjunction with empirical return<br />
distribution information.<br />
What does the empirical SDF look like?<br />
Copyright Hersh <strong>Shefrin</strong> <strong>2008</strong><br />
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