Diagnosing Asset Pricing Models Using the Distribution of Asset Returns
提出一套诊断测试，通过资产收益的矩条件推导随机贴现因子的理论边界，并用于分析小公司效应，发现小公司收益的矩包含大公司和财富组合所没有的信息。
This paper develops a set of diagnostic tests which can shed light on why a particular model is failing and indicate what steps might be taken to make the model consistent with asset returns. Theoretical bounds on the moments of a stochastic discount factor are derived as a function of the moments of observed asset returns. Particular attention is paid to restrictions on moments other than the variance. These bounds can also be used to measure the information about the distribution of the discount factor contained in the moments of various asset returns. As an application of this methodology, bounds on the discount factor are estimated using size-based portfolios, and the results are used to analyze the small firm effect. Empirical results indicate, for the period 1926–1975, that moments of the returns of small firms contain information about the discount factor that is not contained in the moments of the returns of large firms and/or a proxy of the aggregate wealth portfolio. However, this difference disappears when more recent data is included.