Title: Testing conditional factor models
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.