教師資料查詢 | 類別: 會議論文 | 教師: 黃河泉 HO-CHUAN HUANG (瀏覽個人網頁)

標題:結構性轉變下資本資產定價模型之檢定
學年92
學期1
發表日期2003/10/17
作品名稱結構性轉變下資本資產定價模型之檢定
作品名稱(其他語言)Tests of the CAPM under Structural Change
著者黃河泉; 鄭婉秀
作品所屬單位淡江大學財務金融學系
出版者
會議名稱第二屆全國應用經濟學術研討會=2003 Taiwan Conference on Applied Economics
會議地點臺北市, 臺灣
摘要In accordance with the empirical regularity of time-varying betas, following the work of Bai and Perron (1998, 2003), we estimate and test for the Sharpe-Lintner CAPM by allowing for structural change (s) in betas. Empirical applications using BM- and size-sorted quintile portfolios suggest the following interesting results. Firstly, there exists at least one break for all the portfolios under consideration. Secondly, the estimated break dates are quite similar for some of the portfolios, indicating the possible existence of a common break using multivariate time series. Finally, we find the CAPM can be consistent with the data in some regimes but may appear to be inconsistent with the data in some other regimes. This particularly appealing feature has been completely ruled out under the conventional single-equation framework.
關鍵字資本資產定價模式;結構性改變;Beta結構;Capital Asset Pricing Model;Structural Change;Beta-Structure
語言英文
收錄於
會議性質國內
校內研討會地點台北校園
研討會時間20031017~20031017
通訊作者
國別中華民國
公開徵稿Y
出版型式紙本
出處第二屆全國應用經濟學術研討會論文集頁1-26
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