Empirical research of conditional factor pricing model

HU Zhiqiang, ZHAO Guiyu, GUO Xiaolin

Systems Engineering - Theory & Practice ›› 2016, Vol. 36 ›› Issue (11) : 2820-2828.

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中国科学院数学与系统科学研究院期刊网
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Systems Engineering - Theory & Practice ›› 2016, Vol. 36 ›› Issue (11) : 2820-2828. DOI: 10.12011/1000-6788(2016)11-2820-09

Empirical research of conditional factor pricing model

  • HU Zhiqiang, ZHAO Guiyu, GUO Xiaolin
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Abstract

This paper constructs a conditional factor pricing model and accommodates it in the framework of GMM and this yields rich testable hypothesis. The main conclusions can be summarized as below:Our conditional pricing models indeed consider the conditional information in pricing, and conditional information variables which have more predicting power will be more decisive in pricing. Globally speaking though representative investors from different countries will take different views on same conditional information, and their incentives to inter-temporal hedging and dynamic strategy are comparable. Furthermore, conditional information variables in China differ from those countries in their predictability power and direction, while the economy system in China seems to receive less influence from global recessions. In all, we claim conditional information are helpful with describing the risk-premium trade-off in bond returns, and it makes conditional asset pricing a promising endeavor in future researches of financial economics.

Key words

conditional information / factor pricing model / GMM estimation

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HU Zhiqiang , ZHAO Guiyu , GUO Xiaolin. Empirical research of conditional factor pricing model. Systems Engineering - Theory & Practice, 2016, 36(11): 2820-2828 https://doi.org/10.12011/1000-6788(2016)11-2820-09

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Funding

National Natural Science Foundation of China (71471142)
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