Tests of the CAPM with Time‐Varying Covariances: A Multivariate GARCH Approach
检验了一个资产定价模型，其中Sharpe-Lintner CAPM和零贝塔CAPM是特例。模型允许预期市场风险溢价与市场方差之比、条件预期超额收益和风险随时间变化。结果对投资组合形成技术敏感，并显示条件预期超额收益、风险和风险回报比具有显著时变性。
ABSTRACT This paper examines an asset pricing model in which the Sharpe‐Lintner CAPM and the zero‐beta CAPM are special cases. The model allows the ratio of expected market risk premium to market variance, the conditional expected excess returns, and the risks to change over time. The results are found to be sensitive to the choice of the portfolio formation techniques. Significant time variability is shown in the conditional expected excess asset returns and risks and also in the reward‐to‐risk ratio.