• 论文 •

### 第一HJ距离的理论分析

• 出版日期:2014-06-15 发布日期:2014-07-14

### Theoretical Analysis on the First HJ Distance

Zhenlong Zheng & Qingquan Sun

• Online:2014-06-15 Published:2014-07-14

Abstract: Model specification test is the key step of asset pricing, as a new model misspecification measure, the first HJ distance has been paid much academic attention. However, little studies concentrate on the similarities and differences between the first HJ distance and traditional measures. We analyzed the properties of the first HJ distance systematically, and compared with the traditional model specification measure in the paper, and found that: (1) the first HJ distance has linked the Euclidean space distance of the model SDF with the maximal pricing error, having ample economic meaning; (2) the first HJ distance focused on the pricing error, Compared with the traditional measures, the first HJ distance intended to choose the larger zero beta rate and smaller factor risk premium, and ranked the models differently; (3) the first HJ distance weighting matrix is model independent invariant to the test asset portfolio.