| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20209 |
| 来源ID | Working Paper 20209 |
| Misspecified Recovery | |
| Jaroslav Borovička; Lars P. Hansen; José A. Scheinkman | |
| 发表日期 | 2014-06-12 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | Asset prices contain information about the probability distribution of future states and the stochastic discounting of these states. Without additional assumptions, probabilities and stochastic discounting cannot be separately identified. Ross (2013) introduced a set of assumptions that restrict the dynamics of the stochastic discount factor in a way that allows for the recovery of the underlying probabilities. We use decomposition results for stochastic discount factors from Hansen and Scheinkman (2009) to explain when this procedure leads to misspecified recovery. We also argue that the empirical evidence on asset prices indicates that the recovered measure would differ substantially from the actual probability distribution and that interpreting this measure as the true probability distribution may severely bias our inference about risk premia, investors' aversion to risk, and the welfare cost of economic fluctuations. |
| 主题 | Microeconomics ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w20209 |
| 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/577883 |
| 推荐引用方式 GB/T 7714 | Jaroslav Borovička,Lars P. Hansen,José A. Scheinkman. Misspecified Recovery. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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