Variance bounds on the permanent and transitory components of stochastic discount factors

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• 作者：Gurdip Bakshi^a ; ¹ ; ^{gbakshi@rhsmith.umd.edu} ; Fousseni Chabi-Yo^b ; ^{chabi-yo_1@fisher.osu.edu}
• 关键词：Stochastic discount factors ; Permanent component ; Transitory component ; Variance bounds ; Eigenfunction problems
• 刊名：Journal of Financial Economics
• 出版年：2012
• 期刊代码：41_0304405x
• 类别：eco
• 出版时间：July, 2012
• 卷：105
• 期：1
• 页码：191-208
• 文件大小：468 K

摘要

In this paper, we develop lower bounds on the variance of the permanent component and the transitory component, and on the variance of the ratio of the permanent to the transitory components of SDFs. Exactly solved eigenfunction problems are then used to study the empirical attributes of asset pricing models that incorporate long-run risk, external habit persistence, and rare disasters. Specific quantitative implications are developed for the variance of the permanent and the transitory components, the return behavior of the long-term bond, and the comovement between the transitory and the permanent components of SDFs.