A Combined Approach to the Inference of Conditional Factor Models

This paper develops a new methodology for estimating and testing conditional factor models in finance. We propose a two-stage procedure that naturally unifies the two existing approaches in the finance literature—the parametric approach and the nonparametric approach. Our combined approach possesses important advantages over both methods. Using our two-stage combined estimator, we derive new test statistics for investigating key hypotheses in the context of conditional factor models. Our tests can be performed on a single asset or jointly across multiple assets. We further propose a novel test to directly check whether the parametric model used in our first stage is correctly specified. Simulations indicate that our estimates and tests perform well in finite samples. In our empirical analysis, we use our new method to examine the performance of the conditional CAPM, which has generated controversial results in the recent asset-pricing literature. JEL Classification: C51, C52, G12

本文提出了一种用于金融领域条件因子模型估计与检验的全新方法论。我们提出一种两阶段流程，可自然统一金融领域现有文献中的两类主流方法——参数化方法与非参数化方法。相较于这两类单一方法，我们的融合方法具备显著优势。借助我们提出的两阶段融合估计量，我们推导得到适用于条件因子模型场景下关键假设检验的全新检验统计量。我们提出的检验既可针对单一资产开展，也可跨多资产联合实施。我们进一步提出一种全新检验方法，可直接验证第一阶段所采用的参数化模型设定是否正确。模拟实验结果表明，我们的估计量与检验方法在有限样本下表现优异。在实证分析部分，我们运用所提新方法检验条件资本资产定价模型（Capital Asset Pricing Model，CAPM）的表现——该模型在近期资产定价领域文献中曾引发诸多争议性结论。JEL分类号：C51、C52、G12