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Journal of Banking and Finance
Volumn 31, Issue 2, 2007, Pages 419-437
Portfolio efficiency and discount factor bounds with conditioning information: An empirical study
Author keywords

Bounds; Conditioning information; Stochastic discount factors
Indexed keywords

EID: 33846607777     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2006.06.016     Document Type: Article
Times cited : (14)
References (8)
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    • Abhyankar, A., Basu, D., Stremme, A., 2005. Portfolio Efficiency and Discount Factor Bounds with Conditioning Information: A Unified Approach, working paper, Warwick Business School.
  • 2
    • 4344671754 scopus 로고    scopus 로고
    • Conditioning information and variance bounds on pricing kernels
    • Bekaert G., and Liu J. Conditioning information and variance bounds on pricing kernels. Review of Financial Studies 17 2 (2004) 339-378
    • (2004) Review of Financial Studies , vol.17 , Issue.2 , pp. 339-378
    • Bekaert, G.1    Liu, J.2
  • 3
    • 0041030607 scopus 로고    scopus 로고
    • The efficient use of conditioning information in portfolios
    • Ferson W., and Siegel A. The efficient use of conditioning information in portfolios. Journal of Finance 56 3 (2001) 967-982
    • (2001) Journal of Finance , vol.56 , Issue.3 , pp. 967-982
    • Ferson, W.1    Siegel, A.2
  • 4
    • 0038176744 scopus 로고    scopus 로고
    • Stochastic discount factor bounds with conditioning information
    • Ferson W., and Siegel A. Stochastic discount factor bounds with conditioning information. Review of Financial Studies 16 2 (2003) 567-595
    • (2003) Review of Financial Studies , vol.16 , Issue.2 , pp. 567-595
    • Ferson, W.1    Siegel, A.2
  • 5
    • 0003292809 scopus 로고
    • Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
    • Gallant R., Hansen L., and Tauchen G. Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution. Journal of Econometrics 45 1 (1990) 141-179
    • (1990) Journal of Econometrics , vol.45 , Issue.1 , pp. 141-179
    • Gallant, R.1    Hansen, L.2    Tauchen, G.3
  • 6
    • 84934563125 scopus 로고
    • Implications of security markets data for models of dynamic economies
    • Hansen L., and Jagannathan R. Implications of security markets data for models of dynamic economies. Journal of Political Economy 99 2 (1991) 225-262
    • (1991) Journal of Political Economy , vol.99 , Issue.2 , pp. 225-262
    • Hansen, L.1    Jagannathan, R.2
  • 7
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    • The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models
    • Hansen L., and Richard S. The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models. Econometrica 55 3 (1987) 587-613
    • (1987) Econometrica , vol.55 , Issue.3 , pp. 587-613
    • Hansen, L.1    Richard, S.2
  • 8
    • 0012462939 scopus 로고    scopus 로고
    • Consumption, aggregate wealth and expected stock returns
    • Lettau M., and Ludvigson S. Consumption, aggregate wealth and expected stock returns. Journal of Finance 56 3 (2001) 815-849
    • (2001) Journal of Finance , vol.56 , Issue.3 , pp. 815-849
    • Lettau, M.1    Ludvigson, S.2

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.