In this paper we propose a class of nonparametric tests for anomaly effects in empirical asset pricing models in the … adoption of nonparametric functional form to capture the anomaly effects of some asset-specific characteristics, and the other … of the anomaly effects in the Fama-French 3-factor model and the augmented 4-factor and 5-factor models in the full …

these anomaly effects has been the two pass (TP) cross-sectional regression models, advanced by Black, Jensen and Scholes …