Purpose The purpose of this paper is to show that multivariate t -distribution assumption provides a better description of stock return data than multivariate normality assumption. Design/methodology/approach The EM algorithm is applied to solve the statistical estimation problem almost...

In this paper, we construct a new variance bound on any stochastic discount factor (SDF) of the form m = m(x), with x being a vector of state variables, which tightens the well-known Hansen-Jagannathan bound by a ratio of one over the multiple correlation coefficient between x and the standard...

In this article, we examine the limiting behavior of generalized method of moments (GMM) sample moment conditions and point out an important discontinuity that arises in their asymptotic distribution. We show that the part of the scaled sample moment conditions that gives rise to degeneracy in...

In this paper, we present both integral and infinite series expressions of μqp≡E[(x′Ax)p/(x′Bx)q] when x∼N(μ,In), where p, q are nonnegative real numbers, A is a symmetric matrix, and B is a positive semi-definite matrix. We also present efficient numerical methods for computing μqp...

We provide an identity that relates the moment of a product of random variables to the moments of different linear combinations of the random variables. Applying this identity, we obtain new formulae for the expectation of the product of normally distributed random variables and the product of...

Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...