Does the Nonlinear APT Outperform the Conditional CAPM ?

@inproceedings{Kan2000DoesTN,
  title={Does the Nonlinear APT Outperform the Conditional CAPM ?},
  author={Raymond Kan and Kevin Wang},
  year={2000}
}
The conditional CAPM and the nonlinear APT are two important extensions of the Sharpe-Lintner constant beta CAPM. Bansal, Hsieh, and Viswanathan (1993), and Ghysels (1998) suggest that the nonlinear APT is empirically more successful than the conditional CAPM. Using a flexible nonparametric version of the conditional CAPM, we get the opposite result: the conditional CAPM does a substantially better job than the nonlinear APT in explaining the cross-section of time-varying expected returns on… CONTINUE READING