Ang, Andrew; Kristensen, Dennis - In: Journal of Financial Economics 106 (2012) 1, pp. 132-156
Using nonparametric techniques, we develop a methodology for estimating and testing conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The estimators and tests can be implemented for a single asset or...
