Asset pricing with conditioning information: A new test

• 成果类型: Article
• 署名作者: Wang, KQ
• 署名单位: University of Toronto
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00521
• 发表日期: 2003
• 页码: 161-196
• 关键词: cross-section; MARKET; RISK; performance; returns; models; arbitrage; momentum; CAPM

摘要

This paper presents a new test of conditional versions of the Sharpe-Lintner CAPM, the Jagannathan and Wang (1996) extension of the CAPM, and the Fama and French (1993) three-factor model. The test is based on a general non-parametric methodology that avoids functional form misspecification of betas, risk premia, and the stochastic discount factor. Our results provide a novel view of empirical performance of these models. In particular, we find that a nonparametric version of the Fama and French model performs well, even when challenged by momentum portfolios.