廈門大學(xué)任宇副教授“一個(gè)半?yún)��?shù)有條件的資本資產(chǎn)定價(jià)模型”文章大意為：本文提出了一種功能性系數(shù)回歸技術(shù)來估計(jì)時(shí)變貝塔和阿爾法在有條件的資本資產(chǎn)定價(jià)模型(CAPM)。官能系數(shù)表示松弛由預(yù)測(cè)組合成一個(gè)索引有關(guān)的測(cè)試版和α的結(jié)構(gòu)的嚴(yán)格假設(shè)。適當(dāng)?shù)乃饕�變量選擇通過應(yīng)用裁剪順利絕對(duì)偏差處罰。以這種方式，估計(jì)和變量選擇，可以同時(shí)完成。根據(jù)實(shí)證研究，所提出的模型比在解釋資產(chǎn)收益率的替代品更好。我們沒有找到有力的證據(jù)來拒絕有條件的CAPM。以下為在職研究生原文：

　　A Semiparametric Conditional Capital Asset Pricing Model

　　This paper proposes a functional coefficient regression technique to estimate time-varying betas and alpha in the conditional capital asset pricing model (CAPM). Functional coefficient representation relaxed the strict assumptions regarding the structure of betas and alpha by combining the predictors into an index. An appropriate index variable is selected by applying the smoothly clipped absolute deviation penalty. In this way, estimation and variable selection can be done simultaneously. Based on the empirical studies, the proposed model performs better than the alternatives in explaining asset returns. And we find no strong evidence to reject the conditional CAPM.