Tests of the CAPM with Time-Varying Covariances: A Multivariate GARCH Approach
检验了一个包含CAPM和零贝塔CAPM的资产定价模型，允许市场风险溢价与方差之比、条件期望超额收益和风险随时间变化，发现结果对投资组合构建方法敏感，且条件期望超额收益、风险和风险回报比均表现出显著的时变性。
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.