Assessing Specification Errors in Stochastic Discount Factor Models
提出新方法比较资产定价模型，不依赖模型正确的零假设，而是衡量模型表现，避免奖励贴现因子代理的波动性，并利用无套利定价原理评估衍生品，实证检验了文献中的随机因子模型。
ABSTRACT In this article we develop alternative ways to compare asset pricing models when it is understood that their implied stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on statistics associated with null hypotheses that models are correct, our measures of model performance do not reward variability of discount factor proxies. One of our measures is designed to exploit fully the implications of arbitrage‐free pricing of derivative claims. We demonstrate empirically the usefulness of our methods in assessing some alternative stochastic factor models that have been proposed in asset pricing literature.