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Commentary on : Pseudo-True SDFs in Conditional Asset Pricing Models

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Kan, Raymond and Robotti, Cesare (2020) Commentary on : Pseudo-True SDFs in Conditional Asset Pricing Models. Journal of Financial Econometrics, 18 (4). pp. 729-735. doi:10.1093/jjfinec/nbaa001

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Official URL: https://doi.org/10.1093/jjfinec/nbaa001

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Abstract

Asset pricing models are, at best, approximations of reality and are bound to be misspecified. However, it can still be useful to empirically evaluate the degree of model misspecification and the relative performance of competing asset pricing models using actual data. In their seminal paper, Hansen and Jagannathan (1997, HJ hereafter) propose two measures of model misspecification, which are now routinely used for parameter estimation, specification testing, and model selection. The first one measures the distance between the proposed stochastic discount factor (SDF) and the set of admissible SDFs (i.e., the set of SDFs that price a given set of test assets correctly). The second one measures the distance between the...

Item Type: Journal Item
Divisions: Faculty of Social Sciences > Warwick Business School > Finance Group
Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Journal of Financial Econometrics
Publisher: Oxford University Press
ISSN: 1479-8409
Official Date: September 2020
Dates:
DateEvent
September 2020Published
20 February 2020Available
21 January 2020Accepted
Volume: 18
Number: 4
Page Range: pp. 729-735
DOI: 10.1093/jjfinec/nbaa001
Status: Not Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access
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