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Testes multivariados do capital asset pricing model com variabilidade dos prémios de risco ao longo do tempo : aplicação ao mercado accionista português

Miranda, Domingos Lopes de
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Dissertação de Mestrado
Publicado em //1995 Português
Relevância na Pesquisa
28.486018%
O objectivo desta investigação empírica consiste em examinar vários testes multivariados do Capital Asset Pricing Model (CAPM) Condicional desenvolvido por Ng (1989 e 1991), com diferentes representações do modelo Multivariate Simultaneous Generalized Autoregressive Conditional Heteroscedasticity In Mean (GARCH-M) e diferentes técnicas de construção de portfólios, baseadas no beta de mercado, na dimensão da empresa e no sector da actividade, para todas as empresas que mantiveram as suas acções listadas na Bolsa de Valores de Lisboa durante o período de Janeiro de 1988 a Agosto de 1995. Os testes multivariados do CAPM Condicional que permitem a variabilidade dos prémios de risco esperados ao longo do tempo e do risco, dado pela covariância condicional que assume um processo GARCH Multivariado, representada pelo operador VECH [Bollerslev, Engle e Wooldridge, 1988] ou pela representação BEKK [Engle e Kroner, 1995], incorporam a correlação Cross- Sectional contemporânea dos erros de previsão do prémio de risco e permitem a eficiência total com a estimação multivariada simultânea. Por outro lado, os testes são realizados com base nas variações temporais e nas variações Cross-Sectional dos prémios de risco esperados e risco das acções. Esta técnica aumenta o poder dos testes...

Performance evaluation of european bond funds : unconditional versus conditional models

Silva, Florinda
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Tese de Doutorado
Publicado em //2004 Português
Relevância na Pesquisa
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Tese de doutoramento em "Philosophy, Business Administration"; Performance evaluation is one of the most highly debated topics in the finance literature, being an area of significant interest not only to academics but also to practitioners (including individual investors). A recent approach, called ConditionalPerformance Evaluation, has been advocated given the increasing empirical evidence that publicly available information related with economic conditions represents useful information in predicting security returns. As a more robust benchmark is assumed, conditional models may lead to different inferences on fund performance. Previous studies, mainly regarding US stock and pension funds, seem to suggest that conditional measures do change inferences on overall performance and also on the persistence of performance, thus challenging previous findings based on unconditional measures. Our research addresses this issue, in a new important and yet unstudied market, the European bond fund market. An important question that arises in the context of conditional models is the choice of which variables to use as conditioning information. The typical approach used by previous studies involves assuming a standard set of variables, without previously analysing their predictive ability on the respective market. In this research we start by analysing the ability of several predetermined information variables in predicting bond returns in the European market. We test if variables...

A avaliação do desempenho de fundos de investimento : modelos condicionais vs. modelos não condicionais

Leite, Paulo Alexandre da Rocha Armada de Campos
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Dissertação de Mestrado
Publicado em 16/03/2006 Português
Relevância na Pesquisa
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Dissertação de Mestrado em Gestão de Empresas, especialização em Finanças Empresariais; A eficácia das medidas tradicionais de avaliação do desempenho de fundos de investimento tem sido amplamente posta em causa na literatura, sendo-lhes apontadas importantes limitações de ordem conceptual e econométrica. Uma dessas limitações reside no facto de as mesmas pressuporem a existência de uma medida de risco constante ao longo do período de avaliação. Na tentativa de fazer face a esta limitação e considerando que tanto o risco como as rendibilidades esperadas variam ao longo do tempo, um dos mais recentes desenvolvimentos nesta área está relacionado com a utilização de modelos condicionais, que avaliam os gestores das carteiras levando em consideração a informação pública disponível no momento em que as rendibilidades foram geradas. Neste contexto, depois de feita uma revisão da literatura, leva-se a cabo uma análise empírica, com base numa amostra de fundos pertencentes ao mercado português que investem quer no mercado nacional quer no mercado europeu, com o intuito de se estimarem e compararem as medidas de avaliação tradicionais com as suas versões condicionais, de modo a aferir das potenciais vantagens desta nova abordagem. Para além de utilizar quer modelos parcialmente condicionais quer modelos totalmente condicionais...

Modelos condicionais de avaliação do desempenho : evidência para fundos de investimento tecnológicos americanos

Dias, Adriano Marcos Soares Perez
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Dissertação de Mestrado
Publicado em //2011 Português
Relevância na Pesquisa
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Dissertação de mestrado em Finanças; Nos últimos anos, a importância da avaliação do desempenho dos gestores tem sido cada vez mais evidenciada, sendo para isso cada vez mais importante uma análise correta e precisa da mesma. Para efetuar essa análise, comummente utilizava-se os modelos não condicionais que atualmente apresentam muitas limitações, uma vez que pressupõem a existência de uma medida de risco constante ao longo do tempo. Na tentativa de corrigir essa situação, e considerando que tanto as rendibilidades esperadas como o risco variam ao longo do tempo, um dos mais recentes desenvolvimentos nesta área está relacionado com a utilização de modelos condicionais, que avaliam os gestores de carteiras tendo em conta a informação pública disponível no momento em que as rendibilidades foram geradas. Esta dissertação pretende avaliar o desempenho de fundos de investimentos tecnológicos americanos, com o objetivo não só de comparar o seu desempenho com o do mercado, mas também de comparar o desempenho desses mesmos fundos quando analisados através dos modelos tradicionais e de modelos condicionais. Os resultados da análise efetuada sugerem que os gestores dos fundos não são capazes de “bater” o mercado...

Socially responsible investing in the global market : the performance of US and European funds

Cortez, Maria do Céu; Silva, Florinda; Areal, Nelson
Fonte: Wiley Publicador: Wiley
Tipo: Artigo de Revista Científica
Publicado em //2012 Português
Relevância na Pesquisa
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This paper investigates the style and performance of US and European global socially responsible funds. Several specifications of the return generating process are applied as well as their corresponding conditional versions. Most European global socially responsible funds do not show significant performance differences in relation to both conventional benchmarks and socially responsible benchmarks. US funds and Austrian funds show evidence of underperformance. By applying conditional models, we find evidence of time-varying betas, but not of time-varying alphas. With respect to investment style, we find evidence that socially responsible funds are strongly exposed to small cap and growth stocks. While these results are consistent with previous studies, they uncover some misclassification issues in these funds. Finally, we also document a significant home bias for global socially responsible funds.; Fundação para a Ciência e a Tecnologia (FCT)

Time varying betas and the unconditional distribution of asset returns

Adcock, C. J.; Cortez, Maria do Céu; Armada, Manuel José da Rocha; Silva, Florinda
Fonte: Taylor & Francis Publicador: Taylor & Francis
Tipo: Artigo de Revista Científica
Publicado em //2012 Português
Relevância na Pesquisa
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This paper draws attention to the fact that under standard assumptions the time varying betas model cannot capture the dynamics in beta. Conversely, evidence of time variation in beta using this model is equivalent to non-normality in the unconditional distribution of asset returns. Using the multivariate normal as a model for the joint distribution of returns on market indices and predetermined information variables, it is shown how to capture skewness and kurtosis in the unconditional distributions of asset returns. Under the assumptions of the model, asset returns are unconditionally distributed as an extended quadratic form (EQF) in normal variables. Expressions are given for the moment generating function and for the computation of the distribution and density functions. The market-timing model is derived formally using this model. The properties of bias when the standard linear betas model is used to estimate alpha when the correct model is the EQF are also investigated. It is shown that a different time varying betas model can arise as a consequence of portfolio selection. It is also shown that the predetermined information variables have the potential to account for the time series properties of returns, including heterogeneity of variance. An empirical study applies the model to returns on 46 UK bond funds. An analysis of the residuals shows that the model described in this paper is able to capture the dynamics of alpha and beta and properly account for other features of the time series of returns for 28 of these funds...

Avaliação de fundos de investimento socialmente responsáveis : evidência para a Suécia

Leite, Carlos Eduardo Lopes
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Dissertação de Mestrado
Publicado em //2013 Português
Relevância na Pesquisa
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Dissertação de mestrado em Finanças; O impacto da consideração de critérios de responsabilidade social no desempenho financeiro de carteiras de investimento é um tema em debate na área de finanças. Existem argumentos em favor de um desempenho superior, inferior, ou até semelhante entre o desempenho de fundos de investimento socialmente responsáveis relativamente aos seus congéneres convencionais. O principal objetivo deste estudo é avaliar o desempenho de fundos socialmente responsáveis e compará-lo com o desempenho de fundos convencionais. Pretende-se, assim, investigar se é possível ao investidor comum investir com critérios sociais sem ser penalizado em termos de desempenho financeiro. A amostra é constituída por 14 fundos socialmente responsáveis suecos e 105 fundos convencionais suecos, para o período de Novembro de 2002 a Outubro de 2012. Embora quando se utilize todos os fundos a evidência mostre um desempenho superior por parte dos fundos convencionais, controlando para o universo de investimento, dimensão e idade do fundo, através da matched-pairs analysis, a principal conclusão é que não existem diferenças estatisticamente significativas ao nível do desempenho dos FISR e dos fundos convencionais Note-se ainda que os resultados são consistentes com alguma literatura já existente na medida em que foi encontrada uma maior exposição dos fundos socialmente responsáveis a índices convencionais. Para além disso...

Sorting, Firm Characteristics, and Time-varying Risk: An Econometric Analysis

Fan, Xinting; Liu, Ming
Fonte: Oxford University Press Publicador: Oxford University Press
Tipo: Artigo de Revista Científica Formato: text/html
Português
Relevância na Pesquisa
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We show that sorting reveals the time-varying market risk exposures of the firm-specific investment opportunity set. Sorting on the basis of firm characteristics uncovers information on firm-specific distress or growth, and this leads to more efficient estimation of conditional risk sensitivity. We demonstrate the effectiveness of the sorting methodology with an empirical exercise that tests the conditional capital asset pricing model (CAPM). When measured properly using sorting and firm characteristics, conditional betas, along with size and the book-market ratio, are significant drivers of expected returns.

A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk

Glabadanidis, Paskalis
Fonte: Oxford University Press Publicador: Oxford University Press
Tipo: Artigo de Revista Científica Formato: text/html
Português
Relevância na Pesquisa
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This paper uses a multivariate GARCH model to account for time variation in factor loadings and idiosyncratic risk in improving the performance of the CAPM and the three-factor Fama–French model. I show how to incorporate time variation in betas and the second moments of the residuals in a very general way. Both the static and conditional CAPM substantially outperform the three-factor model in pricing industry portfolios. Using a dynamic CAPM model results in a 30% reduction in the average absolute pricing error of size/book-to-market portfolios. Ad hoc analysis shows that the market beta of a value-minus-growth portfolio decreases whenever the default premium increases as well as during economic recessions.

The Conditional CAPM Does Not Explain Asset-pricing Anomalies

LEWELLEN, JONATHAN; NAGEL, STEFAN
Fonte: MIT - Massachusetts Institute of Technology Publicador: MIT - Massachusetts Institute of Technology
Tipo: Trabalho em Andamento Formato: 318782 bytes; application/pdf
Português
Relevância na Pesquisa
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Recent studies suggest that the conditional CAPM might hold, period-by-period, and that time-varying betas can explain the failures of the simple, unconditional CAPM. We argue, however, that significant departures from the unconditional CAPM would require implausibly large time-variation in betas and expected returns. Thus, the conditional CAPM is unlikely to explain asset-pricing anomalies like book-to-market and momentum. We test this conjecture empirically by directly estimating conditional alphas and betas from short-window regressions (avoiding the need to specify conditioning information). The tests show, consistent with our analytical results, that the conditional CAPM performs nearly as poorly as the unconditional CAP

Computer-intensive time-varying model approach to the systematic risk of Australian industrial stock returns

Yao, J.; Gao, J.
Fonte: Univ New South Wales, Austr Grad Sch Management Publicador: Univ New South Wales, Austr Grad Sch Management
Tipo: Artigo de Revista Científica
Publicado em //2004 Português
Relevância na Pesquisa
38.876846%
This paper aims to investigate the form of systematic risk of Australian industrial stock returns. We suggest using four stochastic state-space models for the analysis. The stochastic properties of systematic risk are studied by examining four classes of state-space models: random walk model, random coefficient model, ARMA(1,1) model and mean reverting model (or moving mean model). We have found that the industrial portfolio betas are unstable. The variation of industrial portfolio beta is either random or mean-reverting. Among the nineteen industrial groups, ten of them have the mean-reverting process betas but six of them seem to have a moving long-term mean. Five of the industrial groups have the random process betas, more specifically; the betas of three of them are the random walk processes while the betas of the other two are just the random coefficients. We have also identified that the betas of five industrial groups seem to follow an ARMR(1,1) process; Juan Yao and Jiti Gao

A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk

Glabadanidis, P.
Fonte: Oxford University Press Publicador: Oxford University Press
Tipo: Artigo de Revista Científica
Publicado em //2009 Português
Relevância na Pesquisa
37.836738%
This paper uses a multivariate GARCH model to account for time variation in factor loadings and idiosyncratic risk in improving the performance of the CAPM and the three-factor Fama–French model. I show how to incorporate time variation in betas and the second moments of the residuals in a very general way. Both the static and conditional CAPM substantially outperform the three-factor model in pricing industry portfolios. Using a dynamic CAPM model results in a 30% reduction in the average absolute pricing error of size/book-to-market portfolios. Ad hoc analysis shows that the market beta of a value-minus-growth portfolio decreases whenever the default premium increases as well as during economic recessions.; Paskalis Glabadanidis

Performance evaluation of European Socially Responsible Funds

Leite, Paulo Alexandre da Rocha Armada de Campos
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Tese de Doutorado
Publicado em 04/06/2012 Português
Relevância na Pesquisa
28.664307%
Tese de doutoramento em Ciências Empresariais; The performance of Socially Responsible Investment (SRI) funds has become a very interesting issue of debate in the finance literature. In this work we address several research topics, some of which still unexplored, regarding the performance, performance persistence, investment styles and timing abilities of European SRI funds. Throughout this investigation, several different types of SRI funds, including equity, bond and balanced funds, from eight European markets, are analysed and compared with characteristicsmatched portfolios of conventional funds. Performance is assessed using several models, including robust conditional multi-factor models, which allow for both time-varying alphas and betas, and control for home biases and spurious regression biases. First, we explore the performance of internationally-oriented SRI funds, which have received far less attention in the literature than SRI funds investing in their local markets. To the best of our knowledge, we conduct the first multi-country study, focused on international SRI funds (investing in Global and in European equities), to combine the matched-pairs approach with the use of conditional multi-factor performance evaluation models. Our results show little evidence of significant differences in overall performance...

Search-for-yield in Portuguese fixed-income mutual funds and monetary policy

Mello, Mariana Aires de Campos de Sampaio e
Fonte: Universidade Nova de Lisboa Publicador: Universidade Nova de Lisboa
Tipo: Dissertação de Mestrado
Publicado em /01/2015 Português
Relevância na Pesquisa
28.18609%
This paper studies the effects of monetary policy on mutual fund risk taking using a sample of Portuguese fixed-income mutual funds in the 2000-2012 period. Firstly I estimate time-varying measures of risk exposure (betas) for the individual funds, for the benchmark portfolio, as well as for a representative equally-weighted portfolio, through 24-month rolling regressions of a two-factor model with two systematic risk factors: interest rate risk (TERM) and default risk (DEF). Next, in the second phase, using the estimated betas, I try to understand what portion of the risk exposure is in excess of the benchmark (active risk) and how it relates to monetary policy proxies (one-month rate, Taylor residual, real rate and first principal component of a cross-section of government yields and rates). Using this methodology, I provide empirical evidence that Portuguese fixed-income mutual funds respond to accommodative monetary policy by significantly increasing exposure, in excess of their benchmarks, to default risk rate and slightly to interest risk rate as well. I also find that the increase in funds’ risk exposure to gain a boost in return (search-for-yield) is more pronounced following the 2007-2009 global financial crisis, indicating that the current historic low interest rates may incentivize excessive risk taking. My results suggest that monetary policy affects the risk appetite of non-bank financial intermediaries.; UNL - NSBE

Essays on financial economics; Essays on asset pricing

Franzoni, Francesco, 1972-
Fonte: Massachusetts Institute of Technology Publicador: Massachusetts Institute of Technology
Tipo: Tese de Doutorado Formato: 164 p.; 5867751 bytes; 5867560 bytes; application/pdf; application/pdf
Português
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The first essay finds that the market betas of value and small stocks have decreased by about 75% in the second half of the twentieth century. The decline in beta can be related to a long-term improvement in economic conditions that made these companies less risky. The failure to account for time-series variation of beta in unconditional CAPM regressions can explain as much as 30% of the value premium. In some samples, about 80% of the value premium can be explained by assuming that investors tied their expectations of the riskiness of these stocks to the high values of beta prevailing in the early years. Moving from these findings, the second essay (co-authored with Tobias Adrian) explores in detail the relation between the 'value premium' and the decrease in value stocks' beta. We develop an equilibrium model of learning on time-varying risk factor loadings. In the model the CAPM holds from investors' ex-ante perspective. However, the econometrician can observe positive mispricing, whenever the expected beta is above the true level. Given the finding of a decreasing beta, it is likely that investors' expectation of the beta of these stocks has been above the actual level. Therefore, our model can provide an explanation for the 'value premium'. We present the results of simulations in which the model accounts for up to 80% of the 'value premium' in the 1963-2000 sample.; (cont.) The third essay analyzes the response of stock returns to earnings information. First...

Learning, dynamics of beliefs, and asset pricing

Adrian, Tobias, 1971-
Fonte: Massachusetts Institute of Technology Publicador: Massachusetts Institute of Technology
Tipo: Tese de Doutorado Formato: 139 p.; 4647112 bytes; 4646916 bytes; application/pdf; application/pdf
Português
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In the first chapter, I study the impact of statistical arbitrage on equilibrium asset prices. Arbitrageurs have to learn about the long-run behavior of the stock price process. They condition their investment strategy on the observation of price and volume. The learning process of the statistical arbitrageurs leads to an optimal trading strategy that can be upward sloping in prices. The presence of privately informed investors makes the equilibrium price dependent on the history of trading volume. The response of prices to news is nonlinear, and little news can have large effects in some ranges of the prices. In the second chapter, together with Francesco Franzoni, we develop an equilibrium model of learning about time-varying risk factor loadings. In the model, CAPM holds from investors' ex-ante perspective. However, positive mispricing can be observed when investors' expectations of beta are above ex-post realizations. This model is used to explain the 'value premium'. In a learning framework, the fact that value stocks used to be more risky in the past leads to investors' expectations of beta that exceed the estimates from more recent samples. We propose an empirical methodology that takes investors' expectations of the factor loadings explicitly into account when estimating betas. With the adjusted estimates of beta...

Time-varying market beta : does the estimation methodology matter?

Nieto, Belén; Orbe, Susan; Zarraga, Ainhoa
Fonte: Universidade Autônoma de Barcelona Publicador: Universidade Autônoma de Barcelona
Tipo: Artigo de Revista Científica Formato: application/pdf
Publicado em //2014 Português
Relevância na Pesquisa
68.30304%
This paper compares the performance of nine time-varying beta estimates taken from three different methodologies never previously compared: least-square estimators including nonparametric weights, GARCH-based estimators and Kalman filter estimators. The analysis is applied to the Mexican stock market (2003-2009) because of the high dispersion in betas. The comparison between estimators relies on their financial applications: asset pricing and portfolio management. Results show that Kalman filter estimators with random coefficients outperform the others in capturing both the time series of market risk and their cross-sectional relation with mean returns, while more volatile estimators are better for diversification purposes.

Selecção de títulos e timing em fundos accionistas portugueses

Garcia, Liliana Sofia Reis
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em //2012 Português
Relevância na Pesquisa
39.081987%
Mestrado em Finanças; O presente trabalho pretende avaliar e comparar o desempenho de fundos acionistas portugueses, que investem no mercado português, europeu e internacional, utilizando modelos de desempenho global e modelos de timing nas suas versões incondicionais e condicionais. A avaliação do desempenho global far-se-á através da medida de Jensen (1968) e na avaliação das capacidades de seletividade e timing serão utilizados os modelos de Treynor e Mazuy (1966) e Henriksson e Merton (1981). Estes modelos avaliarão o desempenho dos gestores, quer tendo em conta apenas um único fator de risco (risco de mercado), quer considerando três fatores de risco adicionais (os fatores de Fama e French e de Carhart). No contexto da condicionalidade, serão introduzidas outras variáveis aos modelos anteriores. A utilização dessas variáveis permitirá avaliar o seu impacto nas estimativas do desempenho e aferir quanto à existência de alfas e betas variáveis ao longo do tempo. Os resultados sugerem que os gestores de fundos não são capazes de superar o mercado, evidenciando desempenhos negativos ou neutros durante o período em análise, independentemente do uso de versões incondicionais ou condicionais. De uma maneira geral...

Efficient estimation of a semiparametric characteristic-based factor model of security returns

Connor, Gregory; Hagmann, Matthias; Linton, Oliver
Fonte: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science Publicador: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /10/2007 Português
Relevância na Pesquisa
27.762554%
This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions relating security characteristic to the associated factor betas. We use a time-series and cross-sectional pooled weighted additive nonparametric regression methodology to simultaneously estimate the factor returns and characteristicbeta functions. By avoiding the curse of dimensionality our methodology allows for a larger number of factors than existing semiparametric methods. We apply the technique to the three-factor Fama-French model, Carhart’s four-factor extension of it adding a momentum factor, and a five-factor extension adding an own-volatility factor. We found that momentum and ownvolatility factors are at least as important if not more important than size and value in explaining equity return comovements. We test the multifactor beta pricing theory against the Capital Asset Pricing model using a standard test, and against a general alternative using a new nonparametric test.

Efficient estimation of a semiparametric characteristic-based factor model of security returns

Connor, Gregory; Hagmann, Matthias; Linton, Oliver
Fonte: Financial Markets Group, London School of Economics and Political Science Publicador: Financial Markets Group, London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em 17/09/2007 Português
Relevância na Pesquisa
27.762554%
This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions relating security characteristic to the associated factor betas. We use a time-series and cross-sectional pooled weighted additive nonparametric regression methodology to simultaneously estimate the factor returns and characteristic-beta functions. By avoiding the curse of dimensionality our methodology allows for a larger number of factors than existing semiparametric methods. We apply the technique to the three-factor Fama-French model, Carhart’s four-factor extension of it adding a momentum factor, and a five-factor extension adding an own-volatility factor. We .nd that momentum and own-volatility factors are at least as important if not more important than size and value in explaining equity return comovements. We test the multifactor beta pricing theory against the Capital Asset Pricing model using a standard test, and against a general alternative using a new nonparametric test.