{"id":"https://openalex.org/W2083700154","doi":"https://doi.org/10.1086/499144","title":"A New Variance Bound on the Stochastic Discount Factor*","display_name":"A New Variance Bound on the Stochastic Discount Factor*","publication_year":2006,"publication_date":"2006-01-30","ids":{"openalex":"https://openalex.org/W2083700154","doi":"https://doi.org/10.1086/499144","mag":"2083700154"},"language":"en","primary_location":{"id":"doi:10.1086/499144","doi":"https://doi.org/10.1086/499144","is_oa":false,"landing_page_url":"https://doi.org/10.1086/499144","pdf_url":null,"source":{"id":"https://openalex.org/S64223753","display_name":"The Journal of Business","issn_l":"0021-9398","issn":["0021-9398","1537-5374"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core"],"host_organization":"https://openalex.org/P4310315672","host_organization_name":"University of Chicago Press","host_organization_lineage":["https://openalex.org/P4310315672","https://openalex.org/P4310315690"],"host_organization_lineage_names":["University of Chicago Press","University of Chicago"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Business","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5055118122","display_name":"Raymond Kan","orcid":"https://orcid.org/0000-0002-0578-9974","observed_orcids":["https://orcid.org/0000-0002-0578-9974"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Raymond Kan","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5012239666","display_name":"Guofu Zhou","orcid":"https://orcid.org/0000-0002-4104-403X","observed_orcids":["https://orcid.org/0000-0002-4104-403X"]},"institutions":[{"id":"https://openalex.org/I204465549","display_name":"Washington University in St. Louis","ror":"https://ror.org/01yc7t268","country_code":"US","type":"education","lineage":["https://openalex.org/I204465549"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Guofu Zhou","raw_affiliation_strings":["(, Washington University in St. Louis)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"(, Washington University in St. Louis)","institution_ids":["https://openalex.org/I204465549"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.1343,"has_fulltext":false,"cited_by_count":22,"citation_normalized_percentile":{"value":0.86567103,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"79","issue":"2","first_page":"941","last_page":"961"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9491999745368958,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9491999745368958,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.02410000003874302,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.013399999588727951,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stochastic-discount-factor","display_name":"stochastic discount factor","score":0.9670000076293945},{"id":"https://openalex.org/keywords/variance-bounds","display_name":"variance bounds","score":0.7730000019073486},{"id":"https://openalex.org/keywords/hansen-jagannathan-bound","display_name":"Hansen-Jagannathan bound","score":0.9929999709129333},{"id":"https://openalex.org/keywords/multiple-correlation-coefficient","display_name":"multiple correlation coefficient","score":0.8109999895095825},{"id":"https://openalex.org/keywords/equity-premium-puzzle","display_name":"equity premium puzzle","score":0.8019999861717224},{"id":"https://openalex.org/keywords/asset-pricing","display_name":"asset pricing","score":0.7860000133514404},{"id":"https://openalex.org/keywords/consumption-growth","display_name":"consumption growth","score":0.671999990940094},{"id":"https://openalex.org/keywords/market-volatility","display_name":"market volatility","score":0.7509999871253967}],"concepts":[{"id":"https://openalex.org/C33175817","wikidata":"https://www.wikidata.org/wiki/Q3740200","display_name":"Stochastic discount factor","level":3,"score":0.6715340614318848},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.6498678922653198},{"id":"https://openalex.org/C2781039887","wikidata":"https://www.wikidata.org/wiki/Q1391724","display_name":"Factor (programming language)","level":2,"score":0.5395277142524719},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5113224983215332},{"id":"https://openalex.org/C6177178","wikidata":"https://www.wikidata.org/wiki/Q10998070","display_name":"Discounting","level":2,"score":0.47764599323272705},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.47331559658050537},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.371158242225647},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.18548163771629333},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.12175813317298889},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1016722023487091},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.06637191772460938},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1086/499144","doi":"https://doi.org/10.1086/499144","is_oa":false,"landing_page_url":"https://doi.org/10.1086/499144","pdf_url":null,"source":{"id":"https://openalex.org/S64223753","display_name":"The Journal of Business","issn_l":"0021-9398","issn":["0021-9398","1537-5374"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core"],"host_organization":"https://openalex.org/P4310315672","host_organization_name":"University of Chicago Press","host_organization_lineage":["https://openalex.org/P4310315672","https://openalex.org/P4310315690"],"host_organization_lineage_names":["University of Chicago Press","University of Chicago"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Business","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.195.1218","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.195.1218","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.olin.wustl.edu/faculty/zhou/bsdf.pdf","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.62.4046","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.62.4046","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.mgmt.utoronto.ca/~kan/papers/bound.pdf","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":27,"referenced_works":["https://openalex.org/W1532574166","https://openalex.org/W1970407124","https://openalex.org/W1991406997","https://openalex.org/W1993715711","https://openalex.org/W1995834279","https://openalex.org/W2016971820","https://openalex.org/W2036636216","https://openalex.org/W2047769094","https://openalex.org/W2072374693","https://openalex.org/W2076083594","https://openalex.org/W2082330181","https://openalex.org/W2094869595","https://openalex.org/W2096651599","https://openalex.org/W2104547087","https://openalex.org/W2110521063","https://openalex.org/W2120350343","https://openalex.org/W2127034225","https://openalex.org/W2134807435","https://openalex.org/W2134854408","https://openalex.org/W2135647799","https://openalex.org/W2151581476","https://openalex.org/W2162976621","https://openalex.org/W2570834760","https://openalex.org/W3122467650","https://openalex.org/W3122658446","https://openalex.org/W3122955062","https://openalex.org/W3125360998"],"related_works":["https://openalex.org/W7099191804","https://openalex.org/W653641977","https://openalex.org/W2257660228","https://openalex.org/W2891154576","https://openalex.org/W3046811144","https://openalex.org/W7097634253","https://openalex.org/W2038681382","https://openalex.org/W2798662167","https://openalex.org/W7100822042","https://openalex.org/W7099640894"],"abstract_inverted_index":{"In":[0,30,75],"this":[1],"paper,":[2],"we":[3],"construct":[4],"a":[5,24,40,53],"new":[6,113],"variance":[7,45,72,114],"bound":[8,37,42,49,85,115],"on":[9,43,103,135],"any":[10],"stochastic":[11],"discount":[12],"factor":[13],"(SDF)":[14],"of":[15,26,46,55,100,107],"the":[16,33,44,62,69,78,97,112,121,131],"form":[17],"m":[18],"=":[19],"m(x),":[20,47],"where":[21,59],"x":[22,67,95],"is":[23,61,80,96,116],"vector":[25],"random":[27],"state":[28],"variables.":[29],"contrast":[31],"to":[32,129],"well":[34],"known":[35],"Hansen-Jagannathan":[36,122],"that":[38],"places":[39],"lower":[41],"our":[48,84],"tightens":[50],"it":[51,125],"by":[52],"ratio":[54],"1/\u03c1":[56],"2":[57],"x,m0":[58],"\u03c1x,m0":[60],"multiple":[63],"correlation":[64,79],"coefficient":[65],"between":[66],"and":[68,82,110],"standard":[70],"minimum":[71],"SDF,":[73],"m0.":[74],"many":[76],"applications,":[77],"small,":[81],"hence":[83],"can":[86],"be":[87],"substantially":[88],"tighter":[89],"than":[90,120],"Hansen-Jagannathan\u2019s.":[91],"For":[92],"example,":[93],"when":[94],"growth":[98],"rate":[99],"consumption,":[101],"based":[102,134],"Cochrane\u2019s":[104],"(2001)":[105],"estimates":[106],"market":[108],"volatility":[109],"\u03c1x,m0,":[111],"25":[117],"times":[118],"greater":[119],"bound,":[123],"making":[124],"much":[126],"more":[127],"difficult":[128],"explain":[130],"equity-premium":[132],"puzzle":[133],"existing":[136],"asset":[137],"pricing":[138],"models.":[139]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":5}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2016-06-24T00:00:00"}
