Before revision:  Many structural models of asset prices have stochastic discount factors with martingale components. Also empirical evidence on asset prices suggests that the recovered measure differs from the actual probability distribution. While this probability measure is of substantive interest, interpreting it as the true probability distribution may bias our inference about investor aversion to risk as reflected in risk-return tradeoffs .
After revision:  Many structural models of asset prices have empirically relevant martingale components .