教師資料查詢 | 類別: 期刊論文 | 教師: 聶建中 NIEH, CHIEN-CHUNG (瀏覽個人網頁)

標題:Reexamination of capital asset pricing model (CAPM): An application of quantile regression
學年100
學期1
出版(發表)日期2011/12/01
作品名稱Reexamination of capital asset pricing model (CAPM): An application of quantile regression
作品名稱(其他語言)
著者Chang, Matthew C.; Hung, Jui-Cheng; Nieh, Chien-Chung;
單位淡江大學財務金融學系
出版者Lagos: Academic Journals
著錄名稱、卷期、頁數African Journal of Business Management 5(33), pp.12684-12690
摘要Capital asset pricing model (CAPM) plays a very important role in risky asset evaluation. This paper tries to explore the important aspect in CAPM, which is perfect linear relationship assumption between return and market portfolio risk and further discusses the application of CAPM. Empirical evidence shows that the model in ordinary least squares (OLS) supports the positive relationship between systematic risk and return. However, by quantile regression (QR) analysis, not all relationships between systematic risk and return are positive. For lower quantiles, the relationship is not significantly positive although the positive relationship is concluded for higher quantiles. To sum it up, it is not always sustainable for a positive relationship between systematic risk and return. Besides, non-parametric estimations show that the linear assumption between market portfolio risk and return in CAPM is suspicious. Therefore, we find that the two important associated assumptions, which are positive and linear relationships between market portfolio risk and return, do not necessarily exist.
關鍵字CAPM; quantile regression; nonlinear
語言英文(美國)
ISSN1993-8233
期刊性質國外
收錄於SSCI
產學合作
通訊作者
審稿制度
國別奈及利亞
公開徵稿
出版型式電子版
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