Testing the CAPM with Time-Varying Risks and Returns
利用Engle的自回归条件异方差建模策略，构建了时变风险与预期收益的条件CAPM，并用广义矩估计法估计模型。研究发现，允许一月效应后模型通过检验，但小公司超额收益中仍存在残余股利收益率成分，且风险溢价和贝塔估计有显著的月度与季度成分。
This paper draws on Engle's autoregressive conditionally heteroskedastic modeling strategy to formulate a conditional CAPM with time-varying risk and expected returns. The model is estimated by generalized method of moments. A CAPM that allows mean excess returns to shift in January survives generalized method of moments specification tests for a number of omitted variables. However, a residual dividend yield component is found to remain in the excess returns of smaller firms. We find significant monthly and quarterly components in the risk premia and beta estimates.