Testing conditional factor models

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Testing conditional factor models. / Ang, A.; Kristensen, D.

In: Journal of Financial Economics, Vol. 106, No. 1, 01.10.2012, p. 132-156.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

Vancouver

Ang A, Kristensen D. Testing conditional factor models. Journal of Financial Economics. 2012 Oct 1;106(1):132-156. doi: 10.1016/j.jfineco.2012.04.008

Author

Ang, A. ; Kristensen, D. / Testing conditional factor models. In: Journal of Financial Economics. 2012 ; Vol. 106, No. 1. pp. 132-156.

Bibtex

@article{834c6a26c1934716964e5d166d568b62,

title = "Testing conditional factor models",

abstract = "Using nonparametric techniques, we develop a methodology for estimating and testing conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The estimators and tests can be implemented 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.",

author = "A. Ang and D. Kristensen",

year = "2012",

month = oct,

day = "1",

doi = "10.1016/j.jfineco.2012.04.008",

language = "English",

volume = "106",

pages = "132--156",

journal = "Journal of Financial Economics",

issn = "0304-405X",

publisher = "Elsevier BV",

number = "1",

}

RIS

TY - JOUR

T1 - Testing conditional factor models

AU - Ang, A.

AU - Kristensen, D.

PY - 2012/10/1

Y1 - 2012/10/1

N2 - Using nonparametric techniques, we develop a methodology for estimating and testing conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The estimators and tests can be implemented 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.

AB - Using nonparametric techniques, we develop a methodology for estimating and testing conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The estimators and tests can be implemented 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.

UR - http://www.scopus.com/inward/record.url?scp=84865041801&partnerID=8YFLogxK

U2 - 10.1016/j.jfineco.2012.04.008

DO - 10.1016/j.jfineco.2012.04.008

M3 - Journal article

AN - SCOPUS:84865041801

VL - 106

SP - 132

EP - 156

JO - Journal of Financial Economics

JF - Journal of Financial Economics

SN - 0304-405X

IS - 1

ER -

Department of Economics and Business Economics