教師資料查詢 | 類別: 期刊論文 | 教師: 黃河泉 HO-CHUAN HUANG (瀏覽個人網頁)

標題:Tests of the CAPM under Structural Changes
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出版(發表)日期2005/12/01
作品名稱Tests of the CAPM under Structural Changes
作品名稱(其他語言)
著者Huang, Ho-chuan; Cheng, Wan-hsiu
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International Economic Journal 19(4), pp.523-541
摘要In accordance with the empirical regularity of time-varying betas we estimate and test for the Sharpe–Lintner CAPM by allowing for structural change(s) in betas. Empirical applications using BM- and size-sorted decile portfolios suggest the following interesting results. Firstly, there exists at least one 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 find the CAPM can be consistent 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
ISSN1016-8737;1743-517X
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