Variance bounds on the permanent and transitory components of stochastic discount factors

• 成果类型: Article
• 署名作者: Bakshi, Gurdip; Chabi-Yo, Fousseni
• 署名单位: University System of Ohio; Ohio State University; University System of Maryland; University of Maryland College Park
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.01.003
• 发表日期: 2012
• 页码: 191-208
• 关键词: Stochastic discount factors; Permanent component; Transitory component; Variance bounds; Eigenfunction problems

摘要

In this paper, we develop lower bounds on the variance of the permanent component and the transitory component, and on the variance of the ratio of the permanent to the transitory components of SDFs. Exactly solved eigenfunction problems are then used to study the empirical attributes of asset pricing models that incorporate long-run risk, external habit persistence, and rare disasters. Specific quantitative implications are developed for the variance of the permanent and the transitory components, the return behavior of the long-term bond, and the comovement between the transitory and the permanent components of SDFs. Published by Elsevier B.V.