全球智库信息集成服务系统(G2TT): CAPM Over the Long Run: 1926-2001

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w11903
来源ID	Working Paper 11903
	CAPM Over the Long Run: 1926-2001
	Andrew Ang; Joseph Chen
发表日期	2005-12-26
出版年	2005
语种	英语
摘要	A conditional one-factor model can account for the spread in the average returns of portfolios sorted by book-to-market ratios over the long run from 1926-2001. In contrast, earlier studies document strong evidence of a book-to-market effect using OLS regressions in the post-1963 sample. However, the betas of portfolios sorted by book-to-market ratios vary over time and in the presence of time-varying factor loadings, OLS inference produces inconsistent estimates of conditional alphas and betas. We show that under a conditional CAPM with time-varying betas, predictable market risk premia, and stochastic systematic volatility, there is little evidence that the conditional alpha for a book-to-market trading strategy is statistically different from zero.
主题	Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w11903
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/569554
推荐引用方式 GB/T 7714	Andrew Ang,Joseph Chen. CAPM Over the Long Run: 1926-2001. 2005.