| 結構性轉變下資本資產定價模型之檢定 | |
|---|---|
| 學年 | 92 |
| 學期 | 1 |
| 發表日期 | 2003-10-17 |
| 作品名稱 | 結構性轉變下資本資產定價模型之檢定 |
| 作品名稱（其他語言） | Tests of the CAPM under Structural Change |
| 著者 | 黃河泉; 鄭婉秀 |
| 作品所屬單位 | 淡江大學財務金融學系 |
| 出版者 | |
| 會議名稱 | 第二屆全國應用經濟學術研討會=2003 Taiwan Conference on Applied Economics |
| 會議地點 | 臺北市, 臺灣 |
| 摘要 | In accordance with the empirical regularity of time-varying betas, following the work of Bai and Perron (1998, 2003), we estimate and test for the Sharpe-Lintner CAPM by allowing for structural change (s) in betas. Empirical applications using BM- and size-sorted quintile 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 | 資本資產定價模式;結構性改變;Beta結構;Capital Asset Pricing Model;Structural Change;Beta-Structure |
| 語言 | en |
| 收錄於 | |
| 會議性質 | 國內 |
| 校內研討會地點 | 台北校園 |
| 研討會時間 | 20031017~20031017 |
| 通訊作者 | |
| 國別 | TWN |
| 公開徵稿 | Y |
| 出版型式 | 紙本 |
| 出處 | 第二屆全國應用經濟學術研討會論文集，頁1-26 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/95247 ) |
GoogleAnalytics