Ren, Yu; Shimotsu, Katsumi - In: Journal of Empirical Finance 16 (2009) 3, pp. 483-506
Jagannathan and Wang [Jagannthan, R., and Wang, Z., "The conditional CAPM and the cross-section of expected returns." Journal of Finance, 51 (1996), 3-53] derive the asymptotic distribution of the Hansen-Jagannathan distance (HJ-distance) proposed by Hansen and Jagannathan [Hansen, L.P., and...
