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標題:Tests of Regime-Switching CAPM
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學期
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.
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語言英文
ISSN0960-3107;1466-4305
期刊性質國外
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