Bakshi, Gurdip; Chabi-Yo, Fousseni - In: Journal of Financial Economics 105 (2012) 1, pp. 191-208
In this paper, we develop lower bounds on the variance of the permanent component and the transitory component, and on the variance of the ratio of the permanent to the transitory components of SDFs. Exactly solved eigenfunction problems are then used to study the empirical attributes of asset...