期刊論文
| 學年 | 89 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2000-09-01 |
| 作品名稱 | Tests of Regime-Switching CAPM |
| 作品名稱（其他語言） | |
| 著者 | Huang, Ho-chuan |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Abingdon, Oxon: Routledge |
| 著錄名稱、卷期、頁數 | Applied Financial Economics 10(5), pp.573-578 |
| 摘要 | A novel test for CAPM is presented. In contrast to the traditional models, allowance is made for the possibility that the risk measure, β, to be drawn from two different regimes, e.g. high-risk state and low-risk state. Estimation method is given, empirical results are investigated and specification tests are performed. The hypotheses of two states cannot be rejected. In addition, evidence shows that the data from low-risk state are consistent with CAPM whereas the data from high-risk state violate CAPM. |
| 關鍵字 | |
| 語言 | en |
| ISSN | 0960-3107 1466-4305 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72563 ) |