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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72563


    Title: Tests of Regime-Switching CAPM
    Authors: Huang, Ho-chuan
    Contributors: 淡江大學財務金融學系
    Date: 2000-09
    Issue Date: 2011-10-24 10:33:42 (UTC+8)
    Publisher: Abingdon, Oxon: Routledge
    Abstract: A novel test for CAPM is presented. In contrast to the traditional models, allowance is made for the possibility that the risk measure, β, to be drawn from two different regimes, e.g. high-risk state and low-risk state. Estimation method is given, empirical results are investigated and specification tests are performed. The hypotheses of two states cannot be rejected. In addition, evidence shows that the data from low-risk state are consistent with CAPM whereas the data from high-risk state violate CAPM.
    Relation: Applied Financial Economics 10(5), pp.573-578
    DOI: 10.1080/096031000416451
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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