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: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
語言英文
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
國別中華民國
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 Business28頁
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