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A critique of the stochastic discount factor methodology

Kan, Raymond; Zhou, Guofu - In: The journal of finance : the journal of the American … 54 (1999) 4, pp. 1221-1248

Persistent link: https://www.econbiz.de/10001395748

Hansen-Jagannathan distance : geometry and exact distribution

Kan, Raymond; Zhou, Guofu - 2004

Persistent link: https://www.econbiz.de/10001997574

A new variance bound on the stochastic discount factor

Kan, Raymond; Zhou, Guofu - In: The journal of business : B 79 (2006) 2, pp. 941-961

Persistent link: https://www.econbiz.de/10003310426

Modeling non-normality using multivariate t : implications for asset pricing

Kan, Raymond; Zhou, Guofu - In: China finance review international 7 (2017) 1, pp. 2-32

Persistent link: https://www.econbiz.de/10011797735

Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange

Chou, Pin-Huang; Hsu, Yuan-Lin; Zhou, Guofu - China Economics and Management Academy, Central … - 1999

Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account for the cross-section of expected stock returns over different lengths of investment horizons. We find that $\beta$, adjusted for infrequent trading or not, fails to explain the...

Persistent link: https://www.econbiz.de/10009131620