Testing the validity of the conditional capital asset pricing model （CAPM） is a puzzle in the finance literature. Lewellen and Nagel[14] find that the variation in betas and in the equity premium would have to be im...Testing the validity of the conditional capital asset pricing model （CAPM） is a puzzle in the finance literature. Lewellen and Nagel[14] find that the variation in betas and in the equity premium would have to be implausibly large to explain important asset-pricing anomalies. Unfortunately, they do not provide a rigorous test statistic. Based on a simulation study, the method proposed in Lewellen and Nagel[14] tends to reject the null too frequently. We develop a new test procedure and derive its limiting distribution under the null hypothesis. Also, we provide a Bootstrap approach to the testing procedure to gain a good finite sample performance. Both simulations and empirical studies show that our test is necessary for making correct inferences with the conditional CAPM.展开更多
建立Engle（2002）提出的动态条件相关多元GARCH模型计算深圳股市诸行业指数2001/07/02-2005/07/15期间的时变Beta系数,进而对系统风险Beta系数与收益的关系进行传统的检验和由Pettengill et al.（1995）提出的条件检验,并且探讨了非系...建立Engle（2002）提出的动态条件相关多元GARCH模型计算深圳股市诸行业指数2001/07/02-2005/07/15期间的时变Beta系数,进而对系统风险Beta系数与收益的关系进行传统的检验和由Pettengill et al.（1995）提出的条件检验,并且探讨了非系统风险、总风险在资产定价中的作用。研究结果表明,Beta与收益间不存在传统的无条件相关关系;部分行业指数的Beta系数与收益符合条件相关关系：当超额市场收益大于0（上市场）时,Beta和收益正相关;当超额市场收益小于0（下市场）时,Beta与收益负相关。但对大多数指数而言,Beta与收益仅在下市场时呈显著的负相关关系。同时非系统风险以及总风险均得到了补偿,表明深圳股市的投资者并没有充分分散化其投资,政府应大力发展机构投资者。展开更多
基金the National Nature Science Foundation of China(71131008(Key Project),70871003,70971113)supported by the Fundamental Research Funds for the Central Universities(2013221022)+1 种基金the Natural Science Foundation of Fujian Province(2011J01384)the Natural Science Foundation of China(71301135,71203189,71131008)
文摘Testing the validity of the conditional capital asset pricing model （CAPM） is a puzzle in the finance literature. Lewellen and Nagel[14] find that the variation in betas and in the equity premium would have to be implausibly large to explain important asset-pricing anomalies. Unfortunately, they do not provide a rigorous test statistic. Based on a simulation study, the method proposed in Lewellen and Nagel[14] tends to reject the null too frequently. We develop a new test procedure and derive its limiting distribution under the null hypothesis. Also, we provide a Bootstrap approach to the testing procedure to gain a good finite sample performance. Both simulations and empirical studies show that our test is necessary for making correct inferences with the conditional CAPM.
文摘建立Engle（2002）提出的动态条件相关多元GARCH模型计算深圳股市诸行业指数2001/07/02-2005/07/15期间的时变Beta系数,进而对系统风险Beta系数与收益的关系进行传统的检验和由Pettengill et al.（1995）提出的条件检验,并且探讨了非系统风险、总风险在资产定价中的作用。研究结果表明,Beta与收益间不存在传统的无条件相关关系;部分行业指数的Beta系数与收益符合条件相关关系：当超额市场收益大于0（上市场）时,Beta和收益正相关;当超额市场收益小于0（下市场）时,Beta与收益负相关。但对大多数指数而言,Beta与收益仅在下市场时呈显著的负相关关系。同时非系统风险以及总风险均得到了补偿,表明深圳股市的投资者并没有充分分散化其投资,政府应大力发展机构投资者。
