Assessing Specification Errors in Stochastic Discount Factor Models
نویسندگان
چکیده
منابع مشابه
American Finance Association Assessing Specification Errors in Stochastic Discount Factor Models
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 x2 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 des...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 1997
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.1997.tb04813.x