A semiparametric conditional capital asset pricing model

作者：Cai, Zongwu; Ren, Yu^*; Yang, Bingduo

来源：Journal of Banking & Finance, 2015, 61: 117-126.

DOI：10.1016/j.jbankfin.2015.09.002

• Conditional capital asset pricing model
• Functional coefficient regression
• Smoothly clipped absolute deviation
• penalty
• Variable selection

This paper proposes using a functional coefficient regression technique to estimate time-varying betas and alpha in the conditional capital asset pricing model (CAPM). Functional coefficient representation relaxes the strict assumptions regarding the structure of betas and alpha by combining the predictors into an index. Appropriate index variables are selected by applying the smoothly clipped absolute deviation penalty. In such a way, estimation and variable selection can be done simultaneously. Based on the empirical studies, the proposed model performs better than the alternatives in explaining asset returns and we find no strong evidence to reject the conditional CAPM.

• 出版日期2015-12
• 单位江西财经大学; 厦门大学