Hansen is from the University of Chicago, The National Opinion Research Center, and National Bureau of Economic Research. Jagannathan is from the Carlson School of Management and Visitor, Research Department, Federal Reserve Bank of Minneapolis. Comments by Renee Adams, Edward Allen, Fischer Black, John Cochrane, John Heaton, Peter Knez, Erzo Luttmer, Marc Roston, S. Viswanathan, two referees, and the editor of the journal are gratefully acknowledged. Expert research assistance was provided by Marc Roston and Amir Yaron. Hansen received funding from the National Science Foundation in support of this research. Jagannathan acknowledges partial financial support from the National Science Foundation, grant SBR-9409824. The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Minneapolis or the Federal Reserve System.
Assessing Specification Errors in Stochastic Discount Factor Models
Version of Record online: 18 APR 2012
© 1997 the American Finance Association
The Journal of Finance
Volume 52, Issue 2, pages 557–590, June 1997
How to Cite
HANSEN, L. P. and JAGANNATHAN, R. (1997), Assessing Specification Errors in Stochastic Discount Factor Models. The Journal of Finance, 52: 557–590. doi: 10.1111/j.1540-6261.1997.tb04813.x
- Issue online: 18 APR 2012
- Version of Record online: 18 APR 2012
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