Min, Byoung-Kyu; Kim, Tong Suk - In: Journal of Banking & Finance 36 (2012) 5, pp. 1528-1535
This paper examines the relative risk of good-news firms, i.e., those with high standardized unexpected earnings (SUE), and bad-news (low SUE) firms using a stochastic discount factor approach. We find that a stochastic discount factor constructed from a set of basis assets helps explain...