On Stable Factor Structures in the Pricing of Risk: Do Time‐Varying Betas Help or Hurt?
发现，无条件资本资产定价模型的贝塔估计存在显著时变性，但使用条件CAPM可能因贝塔风险设定错误而导致比常数贝塔模型更大的定价误差。
There is now considerable evidence suggesting that estimated betas of unconditional capital asset pricing models (CAPMs) exhibit statistically significant time variation. Therefore, many have advocated the use of conditional CAPMs. If we succeed in capturing the dynamics of beta risk, we are sure to outperform constant beta models. However, if the beta risk is inherently misspecified, there is a real possibility that we commit serious pricing errors, potentially larger than with a constant traditional beta model. In this paper we show that this is indeed the case, namely that pricing errors with constant traditional beta models are smaller than with conditional CAPMs.