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Assessing Specification Errors in Stochastic Discount Factor Models

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NBER1994-02-01 更新2025-01-04 收录
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In this paper we develop alternative ways to compare asset pricing models when it is understood that their implied stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on x2 statistics associated with null hypothesis that models are correct, our measures of

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1994-02-01
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