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Encyclopedia of Finance pp 405–414Cite as

Evaluating fund performance within the stochastic discount factor framework

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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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Author information

Authors and Affiliations

  1. University of Strathclyde, Glasgow, United Kingdom

    J. Jonathan Fletcher

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  1. J. Jonathan Fletcher
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Editor information

Editors and Affiliations

  1. Rutgers University, New Brunswick/Piscataway, USA

    Cheng-Few Lee

  2. San Francisco State University, San Francisco, USA

    Alice C. Lee

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© 2006 Springer Science+Business Media, Inc.

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Fletcher, J.J. (2006). Evaluating fund performance within the stochastic discount factor framework. In: Lee, CF., Lee, A.C. (eds) Encyclopedia of Finance. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-26336-6_38

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  • DOI: https://doi.org/10.1007/978-0-387-26336-6_38

  • Publisher Name: Springer, Boston, MA

  • Print ISBN: 978-0-387-26284-0

  • Online ISBN: 978-0-387-26336-6

  • eBook Packages: Business and Economics

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