Finance Area Seminar: Piotr Or艂owski
Piotr Or艂owski
HEC Montr茅al
SDF Bounds
Date: Friday, February 14, 2025
Time: 10:30 AM - 11:45 AM
Location: Armstrong building, Room 245
All are cordially invited to attend.
Abstract
This paper develops a framework for testing asset-pricing models by deriving restrictions on the (marginal and joint) distributions of stochastic discount factors (SDFs). The framework takes an arbitrary set of empirical or theoretical restrictions鈥攕uch as observable returns and Euler equations鈥攁s primitives and yields necessary conditions on the joint distribution of SDFs that must hold for the model to align with the specified restrictions. Applying our results to international asset-pricing models, we show that observed asset prices impose non-trivial constraints on the comovement of SDFs across countries.
