Assessing specification errors in stochastic discount factor models

• 成果类型: Article
• 署名作者: Hansen, LP; Jagannathan, R
• 署名单位: National Bureau of Economic Research; Federal Reserve System - USA
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb04813.x
• 发表日期: 1997
• 页码: 557-590
• 关键词: asset pricing-models; empirical tests; arbitrage; consumption; MARKETS; substitution; persistence; estimators; volatility; valuation

摘要

In this article we develop alternative ways to compare asset pricing models when it is understood that their implied stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on chi(2) statistics associated with null hypotheses that models are correct, our measures of model performance do not reward variability of discount factor proxies. One of our measures is designed to exploit fully the implications of arbitrage-free pricing of derivative claims. We demonstrate empirically the usefulness of our methods in assessing some alternative stochastic factor models that have been proposed in asset pricing literature.