An Unconditional Asset‐Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk
推导了在风险与预期收益随时间变化的经济中，无条件贝塔与无条件回报之间的线性关系，并发现用长期数据估计贝塔后，公司规模对平均回报没有解释力。
ABSTRACT In an intertemporal economy where both risk (stock beta) and expected return are time varying, the authors derive a linear relation between the unconditional beta and the unconditional return under certain stationarity assumptions about the stochastic process of size‐portfolio betas. The model suggests the use of long time periods to estimate the unconditional portfolio betas. The authors find that, after controlling for the betas thus estimated, a firm‐size proxy, such as the logarithm of the firm size, does not have explanatory power for the averaged returns across the size‐ranked portfolios.