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The exact distribution of the Hansen-Jagannathan bound
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Robotti, Cesare and Kan, Raymond (2016) The exact distribution of the Hansen-Jagannathan bound. Management Science, 62 (7). pp. 1915-1943. doi:10.1287/mnsc.2015.2222 ISSN 0025-1909.
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Official URL: https://doi.org/10.1287/mnsc.2015.2222
Abstract
Under the assumption of multivariate normality of asset returns, this paper presents a geometric interpretation and the finite-sample distributions of the sample Hansen–Jagannathan bounds on the variance of admissible stochastic discount factors, with and without the nonnegativity constraint on the stochastic discount factors. In addition, since the sample Hansen–Jagannathan bounds can be very volatile, we propose a simple method to construct confidence intervals for the population Hansen–Jagannathan bounds. Finally, we show that the analytical results in the paper are robust to departures from the normality assumption.
Item Type: | Journal Article | ||||||||
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Subjects: | H Social Sciences > HG Finance | ||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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Library of Congress Subject Headings (LCSH): | Capital assets pricing model, Investments -- Econometric models, Investment analysis, Arbitrage | ||||||||
Journal or Publication Title: | Management Science | ||||||||
Publisher: | Institute for Operations Research and the Management Sciences (I N F O R M S) | ||||||||
ISSN: | 0025-1909 | ||||||||
Official Date: | 1 July 2016 | ||||||||
Dates: |
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Volume: | 62 | ||||||||
Number: | 7 | ||||||||
Page Range: | pp. 1915-1943 | ||||||||
DOI: | 10.1287/mnsc.2015.2222 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 9 July 2018 |
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