Unconditional Tests of Linear Asset Pricing Models with Time‐Varying Betas
研究了条件仿射因子模型中，估计的风险价格应满足的无条件约束，并发现该约束仅适用于时变贝塔模型，将其纳入检验后显著改变了无条件贝塔和风险价格的估计。
Abstract In conditional affine factor models, estimated risk prices should satisfy certain unconditional constraints. Specifically, a cross‐sectional estimate of the unconditional slope associated with a risk factor should equal the average price of risk of the factor. The estimated slope associated with the product of a risk factor and an instrument should be equal to the covariance of the factor risk premium with the instrument. We show that the constraints only apply to the conditional models with time‐varying betas. We identify an unconditional constraint on unconditional betas for time‐varying beta models and incorporate it into model tests. We show that imposing this unconditional constraint changes estimates of unconditional betas and risk prices significantly.