A new test on the conditional capital asset pricing model

作者：Li Xia fei; Cai Zong wu; Ren Yu^*

来源：Applied Mathematics-A Journal of Chinese Universities Series B, 2015, 30(2): 163-186.

DOI：10.1007/s11766-015-3351-2

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.

• 出版日期2015-6
• 单位厦门大学