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2006 | OriginalPaper | Buchkapitel

12. Evaluating fund performance within the stochastic discount factor framework

verfasst von : J. Jonathan Fletcher

Erschienen in: Encyclopedia of Finance

Verlag: Springer US

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Abstract

The stochastic discount factor (SDF) approach to fund performance is a recent innovation in the fund performance literature (Chen and Knez, 1996). A number of recent studies have used the stochastic discount factor approach to evaluate the performance of managed funds. In this paper, I present an overview of the use of the stochastic discount approach to evaluate the unconditional and conditional performance of the fund. I also discuss estimation issues and provide a brief survey of empirical evidence.

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Vorheriges Kapitel Working capital and cash flow

Nächstes Kapitel Duration analysis and its applications

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Titel: Evaluating fund performance within the stochastic discount factor framework
verfasst von: J. Jonathan Fletcher
Verlag: Springer US
Buch: Encyclopedia of Finance
Print ISBN: 978-0-387-26284-0

Electronic ISBN: 978-0-387-26336-6

Copyright-Jahr: 2006
DOI: https://doi.org/10.1007/978-0-387-26336-6_38