Readers will see how to assess models even when transactions costs and short-sale constraints complicate pricing. The text lays out a framework for estimating bounds, testing model fit, and interpreting results in light of market frictions, with clear steps and extensions to common frictions.

How stochastic discount factors link payoffs to prices in imperfect markets
Specification-error and volatility bounds to evaluate model correctness
Region subset tests and extensions that handle short-sales and transaction costs
Practical estimation methods and asymptotic tools for asset-pricing data

Ideal for readers of quantitative finance and econometrics who want rigorous, actionable ways to test asset pricing ideas in realistic market conditions.

About the Author

Lars Peter Hansen is Homer J. Livingston Distinguished Service Professor of Economics at the University of Chicago. Professors Dewatripont, Hansen and Turnovsky are Fellows of the Econometric Society and were Program Co-Chairs of the Eighth World Congress of the Econometric Society, held in Seattle, Washington, in August 2000.

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