Asset Pricing with Cumulants
Log expected excess returns decompose exactly into joint cumulants of returns and the stochastic discount factor, explaining thirty-one anomaly factors with three structural parameters.
Featured in No. 136 on 23 Oct 2026 · 3 days after release
- Released
- 20 Oct 2026
- First featured
- No. 136 · 23 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7636458
- Authors
- Robert Parham et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).