The Exact Distribution of the Hansen-Jagannathan Bound

• 成果类型: Article
• 署名作者: Kan, Raymond; Robotti, Cesare
• 署名单位: University of Toronto; Imperial College London
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2015.2222
• 发表日期: 2016
• 页码: 1915-1943
• 关键词: Hansen-Jagannathan bounds; finite-sample distributions; maximum likelihood estimators; in-sample arbitrage portfolios

摘要

Under the assumption of multivariate normality of asset returns, this paper presents a geometric interpretation and the finite-sample distributions of the sample Hansen-Jagannathan bounds on the variance of admissible stochastic discount factors, with and without the nonnegativity constraint on the stochastic discount factors. In addition, since the sample Hansen-Jagannathan bounds can be very volatile, we propose a simple method to construct confidence intervals for the population Hansen-Jagannathan bounds. Finally, we show that the analytical results in the paper are robust to departures from the normality assumption.