Performance Evaluation Using Conditional Alphas and Betas

Marshall, S. Brooks

doi:10.2469/dig.v30.n2.661

CFA Digest

2000

DOI: 10.2469/dig.v30.n2.661

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Performance Evaluation Using Conditional Alphas and Betas

S. Brooks Marshall

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2009

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Testing Conditional Factor Models

Ang¹,

Kristensen

2009

SSRN Journal

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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.

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Testing Conditional Factor Models

Ang¹,

Kristensen

2009

SSRN Journal

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show abstract

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Performance Evaluation Using Conditional Alphas and Betas

Cited by 1 publication

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Testing Conditional Factor Models

Testing Conditional Factor Models

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