TESTING THE CAPM WITH TIME-VARYING RISKS AND RETURNS

被引：49
|
作者：
BODURTHA, JN [1 ]
MARK, NC [1 ]
机构：
[1] OHIO STATE UNIV, DEPT ECON, COLUMBUS, OH 43210 USA
来源：
JOURNAL OF FINANCE | 1991年 / 46卷 / 04期
关键词：
D O I：
10.1111/j.1540-6261.1991.tb04627.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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. 1991 The American Finance Association
引用
收藏
页码：1485 / 1505
页数：21
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