Extending the Hansen–Jagannathan distance measure of model misspecification

Assessing Value With The New Method Of Stochastic Risk Factors

“…At the same time, changes in the company's value are commonly treated as martingale with a constant long-term trend (Qin & Linetsky, 2017). Proponents of this approach, based on classical financial theory and concept of information market efficiency insist that even data on price fluctuations caused by the uncertainty of the price model (which contradict this approach) can be explained with that theory (Xu & Yao, 2019), and the latest - (Hansen et al, 2020). However, results of the mainstream theory of finance, based on "perfection", "completeness", "efficiency", "equilibrium" and especially "fairness" and "benevolence" of financial markets, is the subject of increasing criticism, e.g.…”