全球智库信息集成服务系统(G2TT): Testing Conditional Factor Models

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w17561
来源ID	Working Paper 17561
	Testing Conditional Factor Models
	Andrew Ang; Dennis Kristensen
发表日期	2011-11-03
出版年	2011
语种	英语
摘要	Using nonparametric techniques, we develop a methodology for estimating conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The tests can be performed for a single asset or jointly across portfolios. The traditional Gibbons, Ross, and Shanken (1989) test arises as a special case of no time variation in the alphas and factor loadings and homoskedasticity. As applications of the methodology, we estimate conditional CAPM and multifactor models on book-to-market and momentum decile portfolios. We reject the null that long-run alphas are equal to zero even though there is substantial variation in the conditional factor loadings of these portfolios.
主题	Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w17561
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/575235
推荐引用方式 GB/T 7714	Andrew Ang,Dennis Kristensen. Testing Conditional Factor Models. 2011.