Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
利用含截面依赖的函数系数面板模型检验资本资产定价模型
This paper proposes a functional-coefficient panel data model with cross-sectional dependence motivated by re-examining the empirical performance of conditional capital asset pricing model. In order to characterize the time-varying property of assets’ betas and alpha, our proposed model allows the betas to be unknown functions of some macroeconomic and financial instruments. Moreover, a common factor structure is introduced to characterize cross-sectional dependence which is…