We propose several large sample estimators of the stochastic discount factor (SDF) for pricing risky assets. Our estimators can utilize not only a set of factors chosen by a specific asset pricing model but a set of agnostic factors estimated by statistical methods. We suggest a correction for the bias induced by having a finite time series and show how to use the correction in exploiting unbalanced panel of individual stock returns. We apply our estimators to large cross section of real financial data and provide novel evidence on the premia of frequently used factors.

JEL classification codes: G12

Keywords: asset pricing, factor structure, stochastic discount factor