GENERAL TESTS OF LATENT VARIABLE MODELS AND MEAN-VARIANCE SPANNING

• 成果类型: Article
• 署名作者: FERSON, WE; FOERSTER, SR; KEIM, DB
• 署名单位: Western University (University of Western Ontario); University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2328884
• 发表日期: 1993
• 页码: 131-156
• 关键词: asset pricing-models; term structure; stock returns; conditional heteroskedasticity; Expected returns; empirical tests; interest-rates; RISK; consumption; MARKET

摘要

The methods of Gibbons and Ferson (1985) are extended, relaxing the assumption that expected returns are linear functions of predetermined instruments. A model of conditional mean-variance spanning generalizes Huberman and Kandel (1987). The empirical results indicate that more than a single risk premium is needed to model expected stock and bond returns, but the number of common factors in the expected returns is small. However, when size-based common stock portfolios proxy for the risk factors, we reject the hypothesis that four of them describe the conditional expected returns of the other assets.