haku: @author Zhou, G. / yhteensä: 5
viite: 3 / 5
| Tekijä: | Kan, R. Zhou, G. |
| Otsikko: | A critique of the stochastic discount factor methodology. |
| Lehti: | Journal of Finance
1999 : AUG, VOL. 54:4, p. 1221-1248 |
| Asiasana: | |
| Kieli: | eng |
| Tiivistelmä: | The authors point out that the widely used stochastic discount factor methodology ignores a fully specified model for asset returns. It suffers from two potential problems when asset returns follow a linear factor model. The firs is that the risk premium estimate from the SDF methodology is unreliable. The second us that the specification test under the SDF methodology has very low power in detecting misspecified models. Traditional methodologies typically incorporate a fully specified model for asset returns, and they can perform substantially better than the SDF methodology. |
SCIMA