Misspecified Recovery

• 成果类型: Article
• 署名作者: Borovicka, Jaroslav; Hansen, Lars Peter; Scheinkman, Jose A.
• 署名单位: New York University; National Bureau of Economic Research; University of Chicago; Columbia University; Princeton University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12404
• 发表日期: 2016
• 页码: 2493-2544
• 关键词: Stochastic differential utility; asset pricing-models; risk-aversion; long-run; consumption; economies; valuation; prices; uncertainty; RESOLUTION

摘要

Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the challenge in distinguishing investors' beliefs from risk-adjusted discounting, we use Perron-Frobenius Theory to isolate a positive martingale component of the stochastic discount factor process. This component recovers a probability measure that absorbs long-term risk adjustments. When the martingale is not degenerate, surmising that this recovered probability captures investors' beliefs distorts inference about risk-return tradeoffs. Stochastic discount factors in many structural models of asset prices have empirically relevant martingale components.