TY - JOUR AU - Forero Laverde, Germán PY - 2011/02/13 Y2 - 2024/03/28 TI - Stochastic Discount Factors (SDFs) and the Equity Premium Puzzle under a power utility specification JF - ODEON JA - ODEON VL - 0 IS - 6 SE - Artículos DO - UR - https://revistas.uexternado.edu.co/index.php/odeon/article/view/3324 SP - AB - <p><span style="font-family: Times New Roman; font-size: small;"><span style="font-size: small;"><span style="font-family: Times New Roman; font-size: small;"><span style="font-size: small;"> </span></span></span></span><span style="font-family: Times New Roman; font-size: small;"> </span></p><p class="MsoNormal" style="margin: 0cm 0cm 0pt; text-align: justify; mso-pagination: none; mso-layout-grid-align: none;"><span lang="EN-US" style="mso-ansi-language: EN-US;"><span style="font-size: small;"><span style="font-family: Times New Roman;">This article analyses the stochastic discount factor (SDF) both from the equilibrium perspective, where it appears as a marginal rate of substitution, and from the arbitrage perspective, where it appears as the Radon – Nikodym derivative which allows for a change in the probability measurable space. Its study entails the use of a power utility function, deriving the marginal rate of substitution and the application of the model to Colombian time series. As a result, we confirm the existence of the equity premium puzzle.</span></span></span></p><p><span style="font-family: Times New Roman; font-size: small;"> </span></p> ER -