Tests of the CAPM under Structural Changes
學年 94
學期 1
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 en
ISSN 1016-8737 1743-517X
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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