The Exact Distribution of the Hansen-Jagannathan Bound
Under the assumption of multivariate normality of asset returns, this paper presents a geometrical interpretation and the finite-sample distributions of the sample Hansen-Jagannathan (1991) bounds on the variance of admissible stochastic discount factors, with and without the nonnegativity constraint on the stochastic discount factors. In addition, since the sample Hansen-Jagannathan bounds can be very volatile, we propose a simple method to construct confidence intervals for the population Hansen-Jagannathan bounds. Finally, we show that the analytical results in the paper are robust to departures from the normality assumption.
RAYMOND KAN CESARE ROBOTTI
University of Toronto Federal Reserve Bank of Atlanta
国际会议
大连
英文
1-59
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）