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Asset Pricing Through the Lens of the Hansen-Jagannathan Bound

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Abstract

Stochastic discount factor (SDF) models are the dominant framework for modern asset pricing. The Hansen-Jagannathan bound is a characterization of the admissible set of SDFs, given a vector of asset returns.

Suggested Citation

  • Christopher Otrok & B. Ravikumar, 2020. "Asset Pricing Through the Lens of the Hansen-Jagannathan Bound," Review, Federal Reserve Bank of St. Louis, vol. 102(3), pages 255-269, July.
    • Handle: RePEc:fip:fedlrv:88593
    DOI: 10.20955/r.102.255-69
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    References listed on IDEAS

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    1. Cecchetti, Stephen G & Lam, Pok-sang & Mark, Nelson C, 1994. "Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns," Journal of Finance, American Finance Association, vol. 49(1), pages 123-152, March.
    2. Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2002. "Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 149-174.
    3. repec:spo:wpmain:info:hdl:2441/8686 is not listed on IDEAS
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    9. Otrok, Christopher & Ravikumar, B & Whiteman, Charles, 2001. "Stochastic Discount Factor Models and the Equity Premium Puzzle," MPRA Paper 22938, University Library of Munich, Germany, revised Nov 2004.
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    More about this item

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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