A Theory of Dissimilarity Between Stochastic Discount Factors
提出一种衡量不同经济体随机贴现因子差异性的指标，该指标无量纲、可从货币期权价格中提取，并用45种货币期权数据、汇率回报时间序列等证据验证其有效性。
This paper proposes a measure of dissimilarity between stochastic discount factors (SDFs) in different economies. The SDFs are made comparable using the respective bond prices as the numeraire. The measure is dimensionless, synthesizes features of the risk-neutral moments of excess currency returns, and can be extracted from currency option prices. Linking theory to data, we provide evidence gathered from (i) the cross section of 45 currency option prices, (ii) the time series of currency returns, (iii) estimated SDFs using model-free restrictions, and (iv) structural models in international finance. This paper was accepted by David Simchi-Levi, finance.