Construct · 1 fields · 1 citations

Hansen-Jagannathan bound: a standalone construct

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Asset pricing

a lower bound on the volatility of any stochastic discount factor that can price a set of assets, used to test asset pricing models.

In asset pricing, Hansen-Jagannathan bound refers to a lower bound on the volatility of any stochastic discount factor that can price a set of assets, used to test asset pricing models. This meaning comes from Hansen (1991) in Journal of Political Economy.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs discount3 fields · 4 citationsjingle · one word, three constructs factor3 fields · 4 citationsjingle · one word, three constructs

References

Hansen, L. P., & Jagannathan, R. (1991). Implications of Security Market Data for Models of Dynamic Economies. Journal of Political Economy, 99(2), 225-262. https://doi.org/10.1086/261749

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