A Rehabilitation of Stochastic Discount Factor Methodology
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In a recent Journal of Finance article, Kan and Zhou (1999) find that the 'Stochastic discount factor' methodology using GMM is markedly inferior to traditional maximum likelihood even in a simple test of the static CAPM with i.i.d. normal returns. This result has gained wide attention. However, as
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美国国家经济研究局创建时间：
2001-10-01
