Return Predictability of Higher‐Moment CAPM Market Models
比较了高阶矩CAPM模型与标准CAPM在解释已实现收益和预测个股及动量、规模、国家分类组合未来一期收益上的表现，发现三矩CAPM（二次市场模型）对赢家组合和最小规模组合的时变收益拟合最佳，但参数不确定性削弱了预测能力。
Abstract: This paper examines the relative performance of the higher‐moment CAPM market models and the CAPM in explaining realised returns and predicting one‐period‐ahead returns on individual stocks and (both equally‐ and value‐weighted) portfolios of momentum, size and country sorts. The three‐moment CAPM, the quadratic‐marke model, provides the best ex post estimates in respect of the time‐variation in returns on both the return winner and the smallest size portfolios. Further analysis using an orthogonal factor model for tackling multicollinearity confirms the findings. Parameter uncertainty, however, impinges on forecast accuracy and hence hampers the predictive ability of the higher‐moment models.