Testing the CAPM with Time‐Varying Risks and Returns
用Engle的自回归条件异方差模型构建了时变风险和预期收益的条件CAPM，并用广义矩估计法检验。发现一月效应能通过检验，但小公司超额收益中仍有残余的股息收益率成分，风险溢价和贝塔估计有显著的月度与季度成分。
ABSTRACT This paper draws on Engle's autoregressive conditionally heteroskedastic modeling strategy to formulate a conditional CAPM with time‐varying risk and expected returns. The model is estimated by generalized method of moments. A CAPM that allows mean excess returns to shift in January survives generalized method of moments specification tests for a number of omitted variables. However, a residual dividend yield component is found to remain in the excess returns of smaller firms. We find significant monthly and quarterly components in the risk premia and beta estimates.