A Critique of the Stochastic Discount Factor Methodology
指出广泛使用的随机贴现因子方法忽略了资产收益的完整模型，在线性因子模型下会导致风险溢价估计不可靠且模型检验效力低，而传统方法表现更优。
In this paper, we point out that the widely used stochastic discount factor (SDF) methodology ignores a fully specified model for asset returns. As a result, it suffers from two potential problems when asset returns follow a linear factor model. The first problem is that the risk premium estimate from the SDF methodology is unreliable. The second problem is that the specification test under the SDF methodology has very low power in detecting misspecified models. Traditional methodologies typically incorporate a fully specified model for asset returns, and they can perform substantially better than the SDF methodology.