Tests of the CAPM under Structural Change
學年 91
學期 2
發表日期 2003-05-17
作品名稱 Tests of the CAPM under Structural Change
作品名稱(其他語言)
著者 Huang, Ho-Chuan (River); Cheng, Wan-Hsiu
作品所屬單位 淡江大學財務金融學系
出版者
會議名稱 2003兩岸財經學術研討會=2003 Straits Conference on Economics and Business
會議地點 臺北縣, 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 on 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 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 CAPM;Beta;Structural change
語言 en
收錄於
會議性質 兩岸
校內研討會地點
研討會時間 20030517~20030517
通訊作者
國別 TWN
公開徵稿 Y
出版型式 紙本
出處 2003兩岸財經學術研討會論文集=Proceedings of 2003 Straits Conference on Economics and Business,28頁
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