Asset Pricing With Conditioning Information: A New Test  

Oleh:

Wang, Kevin Q.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 1 (Feb. 2003), page 161-196.
Topik: information; CAPM; test
Fulltext: p 161.pdf (451.65KB)

Isi artikel

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 nonparametric 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.

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