| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17323 |
| 来源ID | Working Paper 17323 |
| The Recovery Theorem | |
| Stephen A. Ross | |
| 发表日期 | 2011-08-18 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We can only estimate the distribution of stock returns but we observe the distribution of risk neutral state prices. Risk neutral state prices are the product of risk aversion - the pricing kernel - and the natural probability distribution. The Recovery Theorem enables us to separate these and to determine the market's forecast of returns and the market's risk aversion from state prices alone. Among other things, this allows us to determine the pricing kernel, the market risk premium, the probability of a catastrophe, and to construct model free tests of the efficient market hypothesis. |
| 主题 | Macroeconomics ; Macroeconomic Models ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w17323 |
| 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/574997 |
| 推荐引用方式 GB/T 7714 | Stephen A. Ross. The Recovery Theorem. 2011. |
| 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 | ||
| w17323.pdf（972KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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