Tests of the relations among marketwide factors, firm-specific variables, and stock returns using a conditional asset pricing model

• 成果类型: Article
• 署名作者: He, J; Kan, R; Ng, LL; Zhang, C
• 署名单位: University of Houston System; University of Houston; University of Toronto; University of Alberta; City University of Hong Kong
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329542
• 发表日期: 1996
• 页码: 1891-1908
• 关键词: Risk premiums; COVARIANCES; equilibrium

摘要

In this article we generalize Harvey's (1989) empirical specification of conditional asset pricing models to allow for both time-varying cavariances between stock returns and marketwide factors and time-varying reward-to-covariabilities. The model is then applied to examine the effects of firm size and book-to-market equity ratios. We find that the traditional asset pricing model with commonly used factors can only explain a small portion of the stack returns predicted by firm size and book-to-market equity ratios. The results indicate that allowing time-varying covariances and time-varying reward-to-covariabilities does little to salvage the traditional asset pricing models.