Model‐Free International Stochastic Discount Factors
提出一个理论框架，以无模型方式揭示国际随机贴现因子、随机楔子与金融市场结构之间的关系，指出市场分割会削弱汇率与国际SDFs的强关联，有助于解释国际资产收益的显著特征。
ABSTRACT We provide a theoretical framework to uncover in a model‐free way the relationships among international stochastic discount factors (SDFs), stochastic wedges, and financial market structures. Exchange rates are in general different from the ratio of international SDFs in incomplete markets, as captured by a stochastic wedge. We show theoretically that this wedge can be zero in incomplete and integrated markets. Market segmentation breaks the strong link between exchange rates and international SDFs, which helps address salient features of international asset returns while keeping the volatility and cross‐country correlation of SDFs at moderate levels.