General Tests of Latent Variable Models and Mean-Variance Spanning
扩展了Gibbons和Ferson的方法，放松了预期收益率为工具变量线性函数的假设，构建了条件均值方差跨度模型。实证发现股票和债券预期收益率需要多个风险溢价，但共同因子数量较少；当用规模组合代理风险因子时，四个因子无法描述其他资产的条件预期收益率。
The methods of Gibbons and Ferson (1985) are extended, relaxing the assumption that expected returns are linear functions of predetermined instruments. A model of conditional mean-variance spanning generalizes Huberman and Kandel (1987). The empirical results indicate that more than a single risk premium is needed to model expected stock and bond returns, but the number of common factors in the expected returns is small. However, when size-based common stock portfolios proxy for the risk factors, we reject the hypothesis that four of them describe the conditional expected returns of the other assets.