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Conditioning information and variance bounds on pricing kernels

Bekaert, Geert; Liu, Jun - 1999

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Using stocks or portfolios in tests of factor models

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Conditioning Information and Variance Bounds on Pricing Kernels

Bekaert, Geert - 1999

We show how to use conditioning information optimally to construct a sharper unconditional Hansen-Jagannathan (1991) bound. The approach in this paper is different from that of Gallant, Hansen and Tauchen (1990), but both approaches yield the same bound when the conditional moments are known....

Persistent link: https://www.econbiz.de/10012471931