Hansen jagannathan distance matlab torrent

Specification errors of assetpricing models for a market characterized by few large capitalization firms. The ratio of the standard deviation of a stochastic discount factor to its mean exceeds the sharpe ratio attained by any portfolio. Intuitive explanation of the hansenjagannathan bound. As of today we have 78,260,526 ebooks for you to download for free. Can be used to easy check the viability of a proposed discount factor given a discount factor, this inequality bounds. Chisquared tests for evaluation and comparison of asset pricing models nikolay gospodinova, raymond kanb, and cesare robottic acorresponding author, department of economics, conc. Specification errors of assetpricing models for a market. The hansen jagannathan bound states that the maximum sharpe ratio of a portfolio cant exceed the ratio of the standard deviation of a stochastic discount factor to its mean. Specification errors of asset pricing models for a market characterized with large capitalization firms. Hansen jagannathan bound theorem hansen jagannathan bound. Evaluating asset pricing models in a famafrench framework.

Linear factor models timeseries approach black, jensen, and scholes 1972 consider a single factor everything generalizes to k factors. The second part of the above matlab code does this. Ng, journalof econometrics, 200, 181193 matlab codes 2016. Here it is included because it develops an estimation methodology for the hj distance. On the properties of the constrained hansen jagannathan distance with r. I more or less understand the meaning of all three concepts. Dear statalisters, i would like to know if anybody has developed an. Pdf specification errors of asset pricing models for a. As shown by hansen and jagannathan, the hjdistance min m2m ky mk, dened in the l 2 space, is the distance of the sdf model y to a family of sdfs, m 2 m, that. This paper provides an indepth analysis of the hansen jagannathan hj distance, which is a measure that is widely used for diagnosis of asset pricing. Simulated minimum distance estimation of dynamic models with errorsinvariables with i. When this factor is an excess return that itself must be priced by.

Hansen and jagannathan 1991 hansen and jagannathan 1997 ap the material on hj bounds in chapter 5, and chapters 16 they are short chapters jagannathan and wang 1996. Actually calculating some of the special portfolios is useful. Im struggling trying to apply this method to test asset pricing models but my background doesnt allow me to develop this model by myself. Hansen jagannathan bound is a theorem in financial economics that says that the ratio of the standard deviation of a stochastic discount factor to its mean exceeds the sharpe ratio attained by any portfolio. This result applies, among others, the cauchyschwarz inequality. Dear all, i want to know how to calculate the hansen and jagannathan distant hansen and jagannathan 1997 which is a measure of gmm model misspecification. Here are a few helping points to go with the code, but machinery comes directly out of cochrane. Robotti, journal of empirical finance, 36, 121 150. The jagannathan and wang paper was suggested reading earlier in the semester.