메뉴 건너뛰기




Volumn 79, Issue 2, 2006, Pages 941-961

A new variance bound on the stochastic discount factor

Author keywords

[No Author keywords available]

Indexed keywords


EID: 33644911188     PISSN: 00219398     EISSN: None     Source Type: Journal    
DOI: 10.1086/499144     Document Type: Review
Times cited : (14)

References (37)
  • 1
    • 0003007882 scopus 로고
    • Asset prices under habit formation and catching up with the Joneses
    • Abel, A. 1990. Asset prices under habit formation and catching up with the Joneses. American Economic Review 80:38-42.
    • (1990) American Economic Review , vol.80 , pp. 38-42
    • Abel, A.1
  • 2
    • 0002804196 scopus 로고    scopus 로고
    • Nonparametric risk management and implied risk aversion
    • Aït-Sahalia, Y., and A. W. Lo. 2000. Nonparametric risk management and implied risk aversion. Journal of Econometrics 94:9-51.
    • (2000) Journal of Econometrics , vol.94 , pp. 9-51
    • Aït-Sahalia, Y.1    Lo, A.W.2
  • 3
    • 0039471646 scopus 로고    scopus 로고
    • Risk premia and variance bounds
    • Balduzzi, P., and H. Kallal. 1997. Risk premia and variance bounds. Journal of Finance 52: 1913-49.
    • (1997) Journal of Finance , vol.52 , pp. 1913-1949
    • Balduzzi, P.1    Kallal, H.2
  • 4
    • 0031352599 scopus 로고    scopus 로고
    • Growth-optimal portfolio restrictions on asset pricing models
    • Bansal, R., and B. N. Lehmann. 1997. Growth-optimal portfolio restrictions on asset pricing models. Macroeconomic Dynamics 1:333-54.
    • (1997) Macroeconomic Dynamics , vol.1 , pp. 333-354
    • Bansal, R.1    Lehmann, B.N.2
  • 5
    • 84993918841 scopus 로고
    • No arbitrage and arbitrage pricing: A new approach
    • Bansal, R., and S. Viswanathan. 1993. No arbitrage and arbitrage pricing: A new approach. Journal of Finance 48:1231-62.
    • (1993) Journal of Finance , vol.48 , pp. 1231-1262
    • Bansal, R.1    Viswanathan, S.2
  • 6
    • 4344671754 scopus 로고    scopus 로고
    • Conditional information and variance bounds on pricing kernels
    • Bekaert, G., and J. Liu. 2004. Conditional information and variance bounds on pricing kernels. Review of Financial Studies 17:339-78.
    • (2004) Review of Financial Studies , vol.17 , pp. 339-378
    • Bekaert, G.1    Liu, J.2
  • 8
    • 0009713512 scopus 로고
    • An intertemporal asset pricing model with stochastic consumption and investment opportunities
    • Breeden, D. T. 1979. An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics 7:265-96.
    • (1979) Journal of Financial Economics , vol.7 , pp. 265-296
    • Breeden, D.T.1
  • 9
    • 0032771542 scopus 로고    scopus 로고
    • By forces of habit: A consumption-based explanation of aggregate stock market behavior
    • Campbell, J. Y., and J. H. Cochrane. 1999. By forces of habit: A consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107:205-51.
    • (1999) Journal of Political Economy , vol.107 , pp. 205-251
    • Campbell, J.Y.1    Cochrane, J.H.2
  • 10
    • 0039619893 scopus 로고    scopus 로고
    • Explaining the poor performance of consumption-based asset pricing models
    • _. 2000. Explaining the poor performance of consumption-based asset pricing models. Journal of Finance 55:2863-78.
    • (2000) Journal of Finance , vol.55 , pp. 2863-2878
  • 11
    • 84858555826 scopus 로고    scopus 로고
    • Bounds on the autocorrelation of admissible stochastic discount factors
    • University of Alberta
    • Chrétien, S. 2003. Bounds on the autocorrelation of admissible stochastic discount factors. Working paper, University of Alberta.
    • (2003) Working Paper
    • Chrétien, S.1
  • 12
    • 0004291281 scopus 로고    scopus 로고
    • Princeton, NJ: Princeton University Press
    • Cochrane, J. H. 2001. Asset pricing. Princeton, NJ: Princeton University Press.
    • (2001) Asset Pricing.
    • Cochrane, J.H.1
  • 14
    • 0343527285 scopus 로고    scopus 로고
    • Beyond arbitrage: Good-deal asset price bounds in incomplete markets
    • Cochrane, J. H., and J. Saá-Requejo. 2000. Beyond arbitrage: Good-deal asset price bounds in incomplete markets. Journal of Political Economy 108:79-119.
    • (2000) Journal of Political Economy , vol.108 , pp. 79-119
    • Cochrane, J.H.1    Saá-Requejo, J.2
  • 15
    • 0042674102 scopus 로고    scopus 로고
    • Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns
    • Dittmar, R. F. 2002. Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns. Journal of Finance 57:369-403.
    • (2002) Journal of Finance , vol.57 , pp. 369-403
    • Dittmar, R.F.1
  • 16
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, E. F., and K. R. French. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33:3-56.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 17
    • 84977722856 scopus 로고
    • Seasonality and consumption-based asset pricing
    • Ferson, W. E., and C. R. Harvey. 1992. Seasonality and consumption-based asset pricing. Journal of Finance 47:511-52.
    • (1992) Journal of Finance , vol.47 , pp. 511-552
    • Ferson, W.E.1    Harvey, C.R.2
  • 18
    • 0038176744 scopus 로고    scopus 로고
    • Stochastic discount factor bounds and conditional information
    • Ferson, W. E., and A. F. Siegel. 2003. Stochastic discount factor bounds and conditional information. Review of Financial Studies 16:567-95.
    • (2003) Review of Financial Studies , vol.16 , pp. 567-595
    • Ferson, W.E.1    Siegel, A.F.2
  • 19
    • 0003292809 scopus 로고
    • Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
    • Gallant, A. R., L. P. Hansen, and G. E. Tauchen. 1990. Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution. Journal of Econometrics 45:141-80.
    • (1990) Journal of Econometrics , vol.45 , pp. 141-180
    • Gallant, A.R.1    Hansen, L.P.2    Tauchen, G.E.3
  • 20
    • 84934563125 scopus 로고
    • Implications of security market data for models of dynamic economies
    • Hansen, L. P., and R. Jagannathan. 1991. Implications of security market data for models of dynamic economies. Journal of Political Economy 99:225-62.
    • (1991) Journal of Political Economy , vol.99 , pp. 225-262
    • Hansen, L.P.1    Jagannathan, R.2
  • 21
    • 0010274340 scopus 로고    scopus 로고
    • Assessing specification errors in stochastic discount factor model
    • _. 1997. Assessing specification errors in stochastic discount factor model. Journal of Finance 52:557-90.
    • (1997) Journal of Finance , vol.52 , pp. 557-590
  • 22
    • 0000089498 scopus 로고
    • The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models
    • Hansen, L. P., and S. F. Richard. 1987. The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models. Econometrica 55:587-613.
    • (1987) Econometrica , vol.55 , pp. 587-613
    • Hansen, L.P.1    Richard, S.F.2
  • 23
    • 0035510969 scopus 로고    scopus 로고
    • Evaluating the specification errors of asset pricing models
    • Hodrick, R. J., and X. Zhang. 2001. Evaluating the specification errors of asset pricing models. Journal of Financial Economics 62:327-76.
    • (2001) Journal of Financial Economics , vol.62 , pp. 327-376
    • Hodrick, R.J.1    Zhang, X.2
  • 24
    • 28044439290 scopus 로고    scopus 로고
    • Hansen-Jagannathan distance: Geometry and exact distribution
    • University of Toronto and Washington University in St. Louis
    • Kan, R., and G. Zhou. 2003a. Hansen-Jagannathan distance: Geometry and exact distribution. Working paper, University of Toronto and Washington University in St. Louis.
    • (2003) Working Paper
    • Kan, R.1    Zhou, G.2
  • 25
    • 1842827900 scopus 로고    scopus 로고
    • Modeling non-normality using multivariate t: Implications for asset pricing
    • University of Toronto and Washington University in St. Louis
    • _. 2003b. Modeling non-normality using multivariate t: Implications for asset pricing. Working paper, University of Toronto and Washington University in St. Louis.
    • (2003) Working Paper
  • 26
    • 0032376602 scopus 로고    scopus 로고
    • The restrictions on predictability implied by rational asset pricing models
    • Kirby, C. 1998. The restrictions on predictability implied by rational asset pricing models. Review of Financial Studies 11:343-82.
    • (1998) Review of Financial Studies , vol.11 , pp. 343-382
    • Kirby, C.1
  • 27
    • 0039301878 scopus 로고    scopus 로고
    • Expected returns and habit persistence
    • Li, Y. 2001. Expected returns and habit persistence. Review of Financial Studies 14:861-99.
    • (2001) Review of Financial Studies , vol.14 , pp. 861-899
    • Li, Y.1
  • 28
    • 33644919491 scopus 로고    scopus 로고
    • It takes a model to beat a model: Volatility bounds
    • Boston College
    • Liu, L. 2003. It takes a model to beat a model: Volatility bounds. Working paper, Boston College.
    • (2003) Working Paper
    • Liu, L.1
  • 30
    • 0001738730 scopus 로고
    • An intertemporal capital asset pricing model
    • Merton, R. C. 1973. An intertemporal capital asset pricing model. Econometrica 41:867-87.
    • (1973) Econometrica , vol.41 , pp. 867-887
    • Merton, R.C.1
  • 33
    • 0002576516 scopus 로고
    • Multivariate proxies and asset pricing relations - Living with Roll's critique
    • Shanken, J. 1987. Multivariate proxies and asset pricing relations - living with Roll's critique. Journal of Financial Economics 18:91-110.
    • (1987) Journal of Financial Economics , vol.18 , pp. 91-110
    • Shanken, J.1
  • 34
    • 84977731442 scopus 로고
    • Diagnosing asset pricing models using the distribution of asset returns
    • Snow, K. N. 1991. Diagnosing asset pricing models using the distribution of asset returns. Journal of Finance 46:955-83.
    • (1991) Journal of Finance , vol.46 , pp. 955-983
    • Snow, K.N.1
  • 35
    • 0012880460 scopus 로고
    • A Bayesian approach to diagnostic of asset pricing models
    • Stutzer, M. 1995. A Bayesian approach to diagnostic of asset pricing models. Journal of Econometrics 68:367-97.
    • (1995) Journal of Econometrics , vol.68 , pp. 367-397
    • Stutzer, M.1
  • 36
    • 1842659070 scopus 로고    scopus 로고
    • Portfolio choice under data-generating process uncertainty
    • Tu, J., and G. Zhou. 2004. Portfolio choice under data-generating process uncertainty. Journal of Financial Economics 72:385-421.
    • (2004) Journal of Financial Economics , vol.72 , pp. 385-421
    • Tu, J.1    Zhou, G.2
  • 37
    • 84993660319 scopus 로고
    • Asset pricing tests under alternative distributions
    • Zhou, G. 1993. Asset pricing tests under alternative distributions. Journal of Finance 48:1927-42.
    • (1993) Journal of Finance , vol.48 , pp. 1927-1942
    • Zhou, G.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.