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Evaluating Fund Performance Within the Stochastic Discount Factor Framework

Jonathan Fletcher ()
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Jonathan Fletcher: University of Strathclyde

Chapter 13 in Encyclopedia of Finance, 2022, pp 667-680 from Springer

Abstract: Abstract Glosten and Jagannathan (J Empir Financ 1:133–160, 1994) and Chen and Knez (Rev Financ Stud 9:511–555, 1996) pioneered the stochastic discount factor approach to fund performance. A major attraction of this approach is that it has been widely used to evaluate the performance of a wide range of managed funds such as mutual funds, hedge funds, and venture capital funds among others. In this chapter, I present an overview of the use of the stochastic discount approach to evaluate the performance of managed funds, and the estimation issues involved in this approach.

Keywords: Stochastic discount factor; Managed funds; GMM (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-91231-4_13

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DOI: 10.1007/978-3-030-91231-4_13

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