Testing conditional factor models
By: Andrew Ang, Dennis Kristensen
Contributors: Kristensen, Dennis, 1974-; National Bureau of Economic Research
Series: NBER working paper series -- working paper 17561; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 17561.
Publisher: National Bureau of Economic Research
Published: 2011
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "Using nonparametric techniques, we develop a methodology for estimating conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time.  The tests can be performed for a single asset or jointly across portfolios.  The traditional Gibbons, Ross, and Shanken (1989) test arises as a special case of no time variation in the alphas and factor loadings and homoskedasticity.  As applications of the methodology, we estimate conditional CAPM and multifactor models on book-to-market and momentum decile portfolios.  We reject the null that long-run alphas are equal to zero even though there is substantial variation in the conditional factor loadings of these portfolios"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 1/10/2012.

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