Tests of Regime-Switching CAPM
學年 89
學期 1
出版（發表）日期 2000-09-01
作品名稱 Tests of Regime-Switching CAPM
作品名稱（其他語言）
著者 Huang, Ho-chuan
單位 淡江大學財務金融學系
出版者 Abingdon, Oxon: Routledge
著錄名稱、卷期、頁數 Applied Financial Economics 10(5), pp.573-578
摘要 A novel test for CAPM is presented. In contrast to the traditional models, allowance is made for the possibility that the risk measure, β, to be drawn from two different regimes, e.g. high-risk state and low-risk state. Estimation method is given, empirical results are investigated and specification tests are performed. The hypotheses of two states cannot be rejected. In addition, evidence shows that the data from low-risk state are consistent with CAPM whereas the data from high-risk state violate CAPM.
關鍵字
語言 en
ISSN 0960-3107 1466-4305
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度
國別 GBR
公開徵稿
出版型式 紙本
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