文章基本信息

标题：Asset Pricing Through the Lens of the Hansen-Jagannathan Bound
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作者：Christopher Otrok ; B.Ravikumar
期刊名称：Federal Reserve Bank of St. Louis Review
印刷版ISSN：0014-9187
出版年度：2020
卷号：102
期号：3
DOI：10.20955/r.102.255-69
语种：English
出版社：Federal Reserve Bank of St. Louis
摘要：Stochastic discount factor (SDF) models are the dominant framework for modern asset pricing. The Hansen-Jagannathan bound is a characterization of the admissible set of SDFs, given a vector of asset returns. The admissible set provides (i) a test of the asset-pricing model and (ii) information on how to modify the SDF to be consistent with asset returns, neither of which requires solving the model. In this article we use the Hansen-Jagannathan bound to examine asset-pricing implications and to test specific asset-pricing models using bootstrap experiments.