淡江大學機構典藏:Item 987654321/72562
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    题名: Tests of CAPM with Nonstationary Beta
    作者: 黃河泉;Huang, Ho-chuan
    贡献者: 淡江大學財務金融學系
    关键词: CAPM;data augmentation;Gibbs sampler;regime-switching;time-varying
    日期: 2001-07
    上传时间: 2011-10-24 10:33:39 (UTC+8)
    出版者: John Wiley & Sons
    摘要: 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.
    關聯: International Journal of Finance & Economics 6(3), pp.255-268
    DOI: 10.1002/ijfe.146
    显示于类别:[財務金融學系暨研究所] 期刊論文

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