中文摘要：

测试有条件的大写的财产定价模型(CAPM ) 的有效性是在金融文学的一个难题。Lewellen 和 Nagel ^[14] 发现在贝它并且在公平奖赏的变化将不得不难以置信地大解释重要财产定价异例。不幸地，他们不提供一个严密测试统计数值。基于模拟研究，在 Lewellen 和 Nagel ^[14] 建议的方法趋于太经常拒绝 0。我们开发一个新测试过程并且在空假设下面导出它的限制分发。另外，我们提供一条 Bootstrap 途径给严峻的过程获得好有限样品表演。模拟和实验研究证明我们的测试为与有条件的 CAPM 做正确推论是必要的。

英文摘要：

Testing the validity of the conditional capital asset pricing model （CAPM） is a puzzle in the finance literature. Lewellen and Nagel[14] find that the variation in betas and in the equity premium would have to be implausibly large to explain important asset-pricing anomalies. Unfortunately, they do not provide a rigorous test statistic. Based on a simulation study, the method proposed in Lewellen and Nagel[14] tends to reject the null too frequently. We develop a new test procedure and derive its limiting distribution under the null hypothesis. Also, we provide a Bootstrap approach to the testing procedure to gain a good finite sample performance. Both simulations and empirical studies show that our test is necessary for making correct inferences with the conditional CAPM.