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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

Optimal portfolio choice with parameter uncertainty

Kan, Raymond; Zhou, Guofu - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 3, pp. 621-656

Persistent link: https://www.econbiz.de/10003527792

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

Security factors as linear combinations of economic variables

Zhou, Guofu - In: Journal of financial markets 2 (1999) 3, pp. 403-432

Persistent link: https://www.econbiz.de/10001426717

Small sample rank tests with applications to asset pricing

Zhou, Guofu - In: Journal of empirical finance 2 (1995) 1, pp. 71-93

Persistent link: https://www.econbiz.de/10001181811

Asset-pricing tests under alternative distributions

Zhou, Guofu - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1927-1942

Persistent link: https://www.econbiz.de/10001155917

Small sample tests of portfolio efficiency

Zhou, Guofu - In: Journal of financial economics 30 (1991) 1, pp. 165-191

Persistent link: https://www.econbiz.de/10001121692

Measuring investor sentiment

Zhou, Guofu - In: Annual review of financial economics 10 (2018), pp. 239-259

Persistent link: https://www.econbiz.de/10011959822

Model comparison using the Hansen-Jagannathan distance

Kan, Raymond; Robotti, Cesare - 2007

Although it is of interest to empirical researchers to test whether or not a particular asset-pricing model is true, a more useful task is to determine how wrong a model is and to compare the performance of competing asset-pricing models. In this paper, we propose a new methodology to test...

Persistent link: https://www.econbiz.de/10010292247