What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models
提出一个信息理论框架，将随机贴现因子分解为可观测和不可观测部分，通过相对熵最小化非参数估计，发现常用消费CAPM与估计的SDF相关性差、需要高风险厌恶且低估市场崩盘风险。
We consider asset pricing models in which the SDF can be factorized into an observable component and a potentially unobservable one. Using a relative entropy minimization approach, we nonparametrically estimate the SDF and its components. Empirically, we find the SDF has a business-cycle pattern and significant correlations with market crashes and the Fama-French factors. Moreover, we derive novel bounds for the SDF that are tighter and have higher information content than existing ones. We show that commonly used consumption-based SDFs correlate poorly with the estimated one, require high risk aversion to satisfy the bounds and understate market crash risk. Received December 19, 2012; editorial decision January 17, 2016 by Editor Pietro Veronesi.