Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - 2010
that incorporates a no-arbitrage constraint. We show that for stochastic discount factors (SDF) that are spanned by the … returns on the test assets, testing the equality of HJ distances with no-arbitrage constraints is the same as testing the … equality of HJ distances without no-arbitrage constraints. A discrepancy can exist only when at least one SDF is a function of …