厦门大学任宇教授“一个半参数有条件的资本资产定价模型”

 

　　A Semiparametric Conditional Capital Asset Pricing Model

 

　　This paper proposes a functional coefficient regression technique to estimate time-varying betas and alpha in the conditional capital asset pricing model (CAPM). Functional coefficient representation relaxed the strict assumptions regarding the structure of betas and alpha by combining the predictors into an index. An appropriate index variable is selected by applying the smoothly clipped absolute deviation penalty. In this way, estimation and variable selection can be done simultaneously. Based on the empirical studies, the proposed model performs better than the alternatives in explaining asset returns. And we find no strong evidence to reject the conditional CAPM.