Misspecified Recovery
利用Perron-Frobenius理论从随机贴现因子中分离出鞅成分，该成分吸收长期风险调整，若误将其恢复的概率视为投资者信念，会扭曲风险收益权衡的推断。
ABSTRACT Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the challenge in distinguishing investors' beliefs from risk‐adjusted discounting, we use Perron–Frobenius Theory to isolate a positive martingale component of the stochastic discount factor process. This component recovers a probability measure that absorbs long‐term risk adjustments. When the martingale is not degenerate, surmising that this recovered probability captures investors' beliefs distorts inference about risk‐return tradeoffs. Stochastic discount factors in many structural models of asset prices have empirically relevant martingale components.