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CREATED:20251006T145921Z
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UID:10000583-1760104800-1760108400@uwm.edu
SUMMARY:What is the Risk-Premium for the SDF?
DESCRIPTION:Part of the Lubar Research Seminar Series \nSpeaker:  John Huck\, University Wisconsin – Milwaukee\n \nWe develop a model that identifies a time-varying risk-premium for a latent stochastic discount factor (SDF) with minimal assumptions. The SDF risk-premium can be identified in two ways: (1) as a function of the weighted average variance risk-premium (VRP) for individual stocks and the VRP for the market\, and (2) as a function of the cross-sectional weighted variance of expected stock returns. We construct empirical proxies for the SDF risk-premium\, and show that they can price the cross-section of stock returns. Specifically\, investors pay a premium for assets that have higher betas to the SDF risk-premium factors.
URL:/business/event/what-is-the-risk-premium-for-the-sdf/
LOCATION:Lubar Hall\, N440\, 3202 N. Maryland Ave.\, Milwaukee\, WI\, 53201\, United States
CATEGORIES:Research Seminar Series
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