Tests of CAPM with Nonstationary Beta

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Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/72562

Title:	Tests of CAPM with Nonstationary Beta
Authors:	黃河泉;Huang, Ho-chuan
Contributors:	淡江大學財務金融學系
Keywords:	CAPM;data augmentation;Gibbs sampler;regime-switching;time-varying
Date:	2001-07
Issue Date:	2011-10-24 10:33:39 (UTC+8)
Publisher:	John Wiley & Sons
Abstract:	Conventional tests of capital asset pricing model usually assume that β, a measure of the systematic risk, is stable over time. Nonetheless, empirical investigations generally find that β tends to be volatile over time. This paper formulates novel empirical models for testing the capital asset pricing model (CAPM) by allowing β to be drawn from two distinct regimes, or to be time varying. The econometric method via the Gibbs sampler with data augmentation algorithm is applied to the data from Taiwan Stock Market to estimate and test the model.
Relation:	International Journal of Finance & Economics 6(3), pp.255-268
DOI:	10.1002/ijfe.146
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

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