Assessing Specification Errors in Stochastic Discount Factor Models
开发了比较资产定价模型的新方法，当模型隐含的随机贴现因子不能正确定价所有投资组合时，这些方法不奖励贴现因子代理的波动性，并利用无套利定价的含义，实证评估了文献中提出的随机因子模型。
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 χ 2 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.