General Tests of Latent Variable Models and Mean‐Variance Spanning
扩展了Gibbons和Ferson（1985）的方法，放宽了预期收益是预定工具线性函数的假设，提出了条件均值方差跨度的广义模型。实证发现，股票和债券的预期收益需要多个风险溢价，但共同因子数量较少；然而，当使用规模组合作为风险因子代理时，四个因子无法描述其他资产的条件预期收益。
ABSTRACT The methods of Gibbons and Ferson (1985) are extended, relaxing the assumption that expected returns are linear functions of predetermined instruments. A model of conditional mean‐variance spanning generalizes Huberman and Kandel (1987). The empirical results indicate that more than a single risk premium is needed to model expected stock and bond returns, but the number of common factors in the expected returns is small. However, when size‐based common stock portfolios proxy for the risk factors, we reject the hypothesis that four of them describe the conditional expected returns of the other assets.