What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models

• 成果类型: Article
• 署名作者: Ghosh, Anisha; Julliard, Christian; Taylor, Alex P.
• 署名单位: Carnegie Mellon University; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; University of Manchester; Alliance Manchester Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw075
• 发表日期: 2017
• 页码: 442
• 关键词: EQUITY PREMIUM PUZZLE; CROSS-SECTIONAL TEST; risk-aversion; PROBABILITY-DISTRIBUTIONS; STOCHASTIC CONSUMPTION; statistical-mechanics; Empirical Likelihood; temporal behavior; long-run; returns

摘要

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.