Estimation and test of a simple model of robust capital asset pricing: An info-metrics approach

IF 1.8 4区 经济学 Q2 BUSINESS, FINANCE International Review of Finance Pub Date : 2023-11-14 DOI:10.1111/irfi.12438
Luis García-Feijóo, Ariel M. Viale
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Abstract

We introduce the info-metrics approach to empirical asset pricing under ambiguity. We apply relative entropy as a pseudo-metric of model discrepancy, and generalized maximum entropy as a principle of statistical inference, to cross-sectional asset pricing tests. We show that a single-factor market representation of the CAPM under ambiguity can explain the cross-section of U.S. stock returns without the aid of additional risk factors. The additional factors can be interpreted as compensations for idiosyncratic ambiguity. The approach can also recover the market price of ambiguity that sets a lower (entropy-based) bound on stock prices, which can be understood as investors' “margin of safety” against extreme market events.

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稳健资本资产定价简单模型的估计与测试:信息计量方法
我们介绍了在模糊条件下进行实证资产定价的信息计量学方法。我们将相对熵作为模型差异的伪度量,将广义最大熵作为统计推断的原则,应用于横截面资产定价检验。我们的研究表明,在模糊条件下,CAPM 的单因素市场表示法可以在不借助额外风险因素的情况下解释美国股票收益的横截面。附加因子可解释为对特异性模糊性的补偿。该方法还可以恢复模糊性的市场价格,该价格为股票价格设定了一个(基于熵的)下限,可以理解为投资者应对极端市场事件的 "安全边际"。
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来源期刊
International Review of Finance
International Review of Finance BUSINESS, FINANCE-
CiteScore
3.30
自引率
5.90%
发文量
28
期刊介绍: The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.
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