Introduction In this class, we again look at the stock return data, but with a very different view point; Previously, we examined the data through the \eyes\of CAPM. We had a noble intension, although it didn't work very well; Now we are going to get our hands \dirty\, and plunge
Introduction The consumption-based model as a complete answer to most asset pricing question in principle, does not work well in practice; This observation motivates effects to tie the discount factor m to other data; Linear factor pricing models are most popular models of this sort in finance; They dominate discrete-time empirical work