Asset Pricing with Conditioning Information: A New Test
提出一种新的非参数检验方法，用于检验条件CAPM、Jagannathan和Wang扩展模型以及Fama-French三因子模型，发现非参数版本的Fama-French模型表现良好，即使面对动量组合也如此。
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.