Are the Latent Variables in Time‐Varying Expected Returns Compensation for Consumption Risk?
利用时变预期收益估计条件贝塔，检验多贝塔资产定价模型。结果表明，消费和市场变量均不能有效代理经济状态变量，但消费贝塔对模型的拒绝程度弱于资产收益贝塔。
ABSTRACT Multibeta asset pricing models are examined using proxies for economic state variables in a framework which exploits time‐varying expected returns to estimate conditional betas. Examples include multiple consumption‐beta models and models where asset returns proxy for the state variables. When the state variables are not specified, the tests indicate two or three time‐varying expected risk premiums in the sample of quarterly asset returns. Conditional betas relative to consumption generate less striking evidence against the model than betas relative to asset returns, but both the consumption and the market variables fail to proxy for the state variables.