會議論文
| 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 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/95262 ) |