Testing conditional factor models

• 成果类型: Article
• 署名作者: Ang, Andrew; Kristensen, Dennis
• 署名单位: University of London; University College London; Columbia University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.04.008
• 发表日期: 2012
• 页码: 132-156
• 关键词: Nonparametric estimator; Time-varying beta; Conditional alpha; Book-to-market premium; Value and momentum

摘要

Using nonparametric techniques, we develop a methodology for estimating and testing conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The estimators and tests can be implemented 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. (c) 2012 Elsevier B.V. All rights reserved.