Generalized recovery

• 成果类型: Article
• 署名作者: Jensen, Christian Skov; Lando, David; Pedersen, Lasse Heje
• 署名单位: Bocconi University; Copenhagen Business School; New York University; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.12.003
• 发表日期: 2019
• 页码: 154-174
• 关键词: recovery; asset pricing; Pricing kernel; PREDICTING RETURNS

摘要

We characterize when physical probabilities, marginal utilities, and the discount rate can be recovered from observed state prices for several future time periods. We make no assumptions of the probability distribution, thus generalizing the time-homogeneous stationary model of Ross (2015). Recovery is feasible when the number of maturities with observable prices is higher than the number of states of the economy (or the number of parameters characterizing the pricing kernel). When recovery is feasible, our model allows a closed-form linearized solution. We implement our model empirically, testing the predictive power of the recovered expected return and other recovered statistics. (C) 2018 Published by Elsevier B.V.