The Conditional Relationship Between Beta and Returns: A Reassessment
指出基于贝塔与市场收益条件关系的CAPM实证检验方法需要重新考虑，并提出调整版本，证明在正态分布下其检验效力不优于Fama-MacBeth方法。
Abstract: Several recent empirical tests of the Capital Asset Pricing Model have been based on the conditional relationship between betas and market returns. This paper shows that this method needs reconsideration. An adjusted version of this test is presented. It is then demonstrated that the adjusted technique has similar, or lower, power to the more easily implemented CAPM test of Fama and MacBeth (1973) if returns are normally distributed.