Which Alpha?
提出比较资产定价模型时，应关注模型能否定价对方模型中的因子，而非测试资产；对于有交易因子的模型，测试资产无关紧要。
A common approach to comparing asset pricing models involves a competition in pricing test-asset returns. In contrast, we show that for models with traded factors, when the comparison is framed appropriately in terms of success in pricing both the test-asset and factor returns, the extent to which each model is able to price the factors in the other model is what matters for model comparison. Test assets are irrelevant based on several prominent criteria. For models with nontraded factors, test assets are relevant for model comparison insofar as they are needed to identify factor-mimicking portfolio returns.