全球智库信息集成服务系统(G2TT): Stochastic Discount Factor Bounds with Conditioning Information

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w8789
来源ID	Working Paper 8789
	Stochastic Discount Factor Bounds with Conditioning Information
	Wayne E. Ferson; Andrew Siegel
发表日期	2002-02-14
出版年	2002
语种	英语
摘要	Hansen and Jagannathan (HJ, 1991) describe restrictions on the volatility of stochastic discount factors (SDFs) that price a given set of asset returns. This paper compares the sampling properties of different versions of HJ bounds that use conditioning information in the form of a given set of lagged instruments. HJ describe one way to use conditioning information. Their approach is to multiply the original returns by the lagged variables, and much of the asset pricing literature to date has followed this ihmultiplicativel. approach. We also study two versions of optimized HJ bounds with conditioning information. One is from Gallant, Hansen and Tauchen (1990) and the second is based on the unconditionally-efficient portfolios derived in Ferson and Siegel (2000). We document finite-sample biases in the HJ bounds, where the biased bounds reject asset-pricing models too often. We provide useful correction factors for the bias. We also evaluate the asymptotic standard errors for the HJ bounds, from Hansen, Heaton and Luttmer (1995).
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Econometrics ; Estimation Methods
URL	https://www.nber.org/papers/w8789
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/566396
推荐引用方式 GB/T 7714	Wayne E. Ferson,Andrew Siegel. Stochastic Discount Factor Bounds with Conditioning Information. 2002.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w8789.pdf（308KB）	智库出版物		限制开放	CC BY-NC-SA	浏览