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1、JournalofEmpiricalFinance14(2007)1–40www.elsevier.com/locate/jempfinCAPMoverthelongrun:1926–2001a,b,1c,⁎AndrewAng,JosephChenaColumbiaBusinessSchool,ColumbiaUniversity,805UrisHall,3022Broadway,NewYork,NY10027,UnitedStatesbNBER,UnitedStatescMarshallSchoolofBusinessatUniversityofSouthernCalifornia,701E
2、xpositionBlvd.,HoffmanHall701,LosAngeles,CA90089-1427,UnitedStatesReceived28September2005;accepted20December2005Availableonline6March2006AbstractAconditionalone-factormodelcanaccountforthespreadintheaveragereturnsofportfoliossortedbybook-to-marketratiosoverthelongrunfrom1926to2001.Incontrast,earlier
3、studiesdocumentstrongevidenceofabook-to-marketeffectusingOLSregressionsoverpost-1963data.However,thebetasofportfoliossortedbybook-to-marketratiosvaryovertimeandinthepresenceoftime-varyingfactorloadings,OLSinferenceproducesinconsistentestimatesofconditionalalphasandbetas.WeshowthatunderaconditionalCA
4、PMwithtime-varyingbetas,predictablemarketriskpremia,andstochasticsystematicvolatility,thereislittleevidencethattheconditionalalphaforabook-to-markettradingstrategyisdifferentfromzero.©2006ElsevierB.V.Allrightsreserved.JELclassification:C51;G12Keywords:Book-to-marketeffect;Valueeffect;ConditionalCAPM
5、;Time-varyingbeta1.IntroductionBeginningwithBasu(1983),manyresearchershavefoundsignificantevidenceoverthepost-1963periodofabook-to-marketeffect,wherestockswithhighbook-to-marketratioshavehigheraveragereturnsthanwhattheCAPMpredicts.ThisinferenceisbasedonconventionalOLSwithasymptoticstandarderrors,whi
6、chreliesontheassumptionsthatfactorloadingsareconstantand⁎Correspondingauthor.Tel.:+12137406509;fax:+12137406650.E-mailaddresses:aa610@columbia.edu(A.Ang),joe.chen@marshall.usc.edu(J.Chen).URL's:http://www.columbia.edu/~aa610(A.Ang),http://www-rcf.usc.edu/~josephsc(J.Chen).1Tel.:+12128549154;fax:+121
7、26628474.0927-5398/$-seefrontmatter©2006ElsevierB.V.Allrightsreserved.doi:10.1016/j.jempfin.2005.12.0012A.Ang,J.Chen/JournalofEmpiricalFinance14(2007)1–40thatthemarketriskpremiumisstable.However,botho
