淡江大學機構典藏:Item 987654321/72563
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    题名: Tests of Regime-Switching CAPM
    作者: Huang, Ho-chuan
    贡献者: 淡江大學財務金融學系
    日期: 2000-09
    上传时间: 2011-10-24 10:33:42 (UTC+8)
    出版者: Abingdon, Oxon: Routledge
    摘要: 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.
    關聯: Applied Financial Economics 10(5), pp.573-578
    DOI: 10.1080/096031000416451
    显示于类别:[財務金融學系暨研究所] 期刊論文

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