S
Shrihari Santosh
Researcher at University of Colorado Boulder
Publications - 12
Citations - 735
Shrihari Santosh is an academic researcher from University of Colorado Boulder. The author has contributed to research in topics: Stochastic discount factor & Factor analysis. The author has an hindex of 7, co-authored 11 publications receiving 542 citations. Previous affiliations of Shrihari Santosh include University of Maryland, College Park & Saint Louis University.
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Shrinking the cross-section
TL;DR: In this paper, a robust stochastic discount factor (SDF) summarizing the joint explanatory power of a large number of cross-sectional stock return predictors is proposed.
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Interpreting Factor Models
TL;DR: In this article, the authors argue that tests of reduced-form factor models and horse races between "characteristics" and "covariances" cannot discriminate between alternative models of investor beliefs, since the absence of near-arbitrage opportunities implies that the SDF can be represented as a function of a few dominant sources of return variation.
Journal ArticleDOI
Interpreting Factor Models
TL;DR: In this article, the authors argue that the absence of near-arbitrage opportunities implies that the stochastic discount factor can be represented as a function of a few dominant sources of return variation.
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Shrinking the Cross Section
TL;DR: In this article, a robust stochastic discount factor (SDF) is proposed to summarize the joint explanatory power of a large number of cross-sectional stock return predictors.
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The Economics of Factor Timing
TL;DR: In this article, the optimal factor timing portfolio is equivalent to the stochastic discount factor, and a method to characterize both empirically is proposed and implemented, which imposes restrictions on the dynamics of expected returns which lead to an economically plausible SDF.