A rehabilitation of stochastic discount factor methodology

Manuscript, July 2000 A short note showing how Kan and Zhou (1999) went wrong. Adapted from comments I gave to Jagannathan and Wang given at the spring 2000 NBER asset pricing meeting. The Journal of Finance does not publish corrections, even to flat-out mistakes, alas.

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Explaining the Poor Performance of Consumption-Based Asset Pricing Models

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Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets