A Single-Factor Consumption-Based Asset Pricing Model
提出一个基于消费增长低于内生确定性等值的指示函数的单因子模型，能解释规模、价值、反转、盈利和投资组合的预期收益横截面，效果不逊于Fama-French多因子模型。
We propose a single-factor asset pricing model based on an indicator function of consumption growth being less than its endogenous certainty equivalent. This certainty equivalent is derived from generalized disappointment-aversion preferences, and it is located approximately 1 standard deviation below the conditional mean of consumption growth. Our single-factor model can explain the cross section of expected returns for size, value, reversal, profitability, and investment portfolios at least as well as the Fama–French multifactor models. Our results show strong empirical support for asymmetric preferences and question the effectiveness of the smooth utility framework, which is traditionally used in consumption-based asset pricing.