Evaluating asset-pricing models using the Hansen-Jagannathan bound: A Monte Carlo investigation

Journal of Applied Econometrics

Volumn 17, Issue 2, 2002, Pages 149-174

  Otrok, Christopher ^a   Ravikumar, B ^b   Whiteman, Charles H ^b  

^a UNIVERSITY OF VIRGINIA   (United States)

^b UNIVERSITY OF IOWA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036256606     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/jae.640     Document Type: Article

References (23)

1. Abel AB. 1990. Asset pricing under habit formation and catching up with the Joneses. American Economic Review 80: 38-42.
2. Abel AB. 1998. Risk premia and term premia in general equilibrium. Journal of Monetary Economics 43: 3-33.
3. Burnside C. 1994. Hansen-Jagannathan bounds as classical tests of asset pricing models. Journal of Business and Economic Statistics 12: 57-79.
4. Campbell JY, Cochrane JH. 1999. By force of habit: a consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107: 205-251.
5. Cecchetti SG, Lam P-S, Mark NC. 1994. Testing volatility restrictions on intertemporal marginal rates of substitution implied by Euler equations and asset returns. Journal of Finance 49: 123-152.
6. Cochrane JH, Hansen LP 1992. Asset pricing explorations for macroeconomics. In NBER Macroeconomics Annual, Blanchard OJ, Fischer S (eds). Cambridge, MA.
7. Constantinides GC. 1990. Habit formation: a resolution of the equity premium puzzle. Journal of Political Economy 98: 519-543.
8. Epstein LG, Zin SE. 1989. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: a theoretical framework. Econometrica 57: 937-968.
9. Epstein LG, Zin SE. 1991. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: an empirical analysis. Journal of Political Economy 99: 263-286.
10. Gregory AW, Smith GW. 1992. Sampling variability in Hansen-Jagannathan bounds. Economics Letters 38: 263-267.
11. Hansen LP. 1982. Large sample properties of generalized method of moments estimators. Econometrica 50: 1029-1054.
12. Hansen LP, Heaton J, Luttmer EGJ. 1995. Econometric evaluation of asset pricing models. Review of Financial Studies 8: 237-274.
13. Hansen LP, Jagannathan R. 1991. Implications of security market data for models of dynamic economies. Journal of Political Economy 99: 225-262.
14. Hansen LP, Jagannathan R. 1997. Assessing specification errors in stochastic discount factor models. Journal of Finance 52: 557-590.
15. Hansen LP, Singleton KJ. 1982. Generalized instrumental variables estimation of nonlinear rational expectations models. Econometrica 50: 1269-1286.
16. Heaton J. 1995. An empirical investigation of asset pricing with temporally dependent preference specifications. Econometrica 63: 681-717.
17. Lucas RE Jr. 1978. Asset prices in an exchange economy. Econometrica 46: 1429-1445.
18. Mehra R, Prescott EC. 1985. The equity premium: a puzzle. Journal of Monetary Economics 15: 145-161.
19. Otrok C, Ravikumar B, Whiteman CH. 2001. Habit formation: a resolution of the equity premium puzzle? Forthcoming, Journal of Monetary Economics.
20. Sundaresan SM. 1989. Intertemporally dependent preferences and the volatility of consumption and wealth. Review of Financial Studies 2: 73-89.
21. Tauchen G. 1986a. Finite state Markov-chain approximations to univariate and vector autoregressions. Economics Letters 20: 177-181.
22. Tauchen G. 1986b. Statistical properties of generalized method of moments estimators of structured parameters using financial market data. Journal of Business and Economic Statistics 4: 397-416.
23. Weil P. 1989. The equity premium puzzle and the risk-free rate puzzle. Journal of Monetary Economics 24: 401-421.