Reexamination of capital asset pricing model (CAPM): An application of quantile regression
學年 100
學期 1
出版（發表）日期 2011-12-01
作品名稱 Reexamination of capital asset pricing model (CAPM): An application of quantile regression
作品名稱（其他語言）
著者 Chang, Matthew C.; Hung, Jui-Cheng; Nieh, Chien-Chung;
單位 淡江大學財務金融學系
出版者 Lagos: Academic Journals
著錄名稱、卷期、頁數 African Journal of Business Management 5(33), pp.12684-12690
摘要 Capital asset pricing model (CAPM) plays a very important role in risky asset evaluation. This paper tries to explore the important aspect in CAPM, which is perfect linear relationship assumption between return and market portfolio risk and further discusses the application of CAPM. Empirical evidence shows that the model in ordinary least squares (OLS) supports the positive relationship between systematic risk and return. However, by quantile regression (QR) analysis, not all relationships between systematic risk and return are positive. For lower quantiles, the relationship is not significantly positive although the positive relationship is concluded for higher quantiles. To sum it up, it is not always sustainable for a positive relationship between systematic risk and return. Besides, non-parametric estimations show that the linear assumption between market portfolio risk and return in CAPM is suspicious. Therefore, we find that the two important associated assumptions, which are positive and linear relationships between market portfolio risk and return, do not necessarily exist.
關鍵字 CAPM; quantile regression; nonlinear
語言 en_US
ISSN 1993-8233
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度 是
國別 NGA
公開徵稿
出版型式 電子版
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