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Since Brazilian data sets for consumption and asset returns are short and the standard GMM-based overidentifying restrictions test has low power in small samples, a GMM approach imposes difficulties to the evaluation of asset pricing kernels better suited to describe asset pricing phenomena in Brazil. This paper addresses the question of estimating and testing two asset pricing models, using an information-theoretic method of moments estimator, which minimizes the Kullback-Leibler Informationdoi:10.15728/bbr.2006.3.1.1 fatcat:efnfuceaqvdt3iucegrpmftw2m