淡江大學機構典藏:Item 987654321/72563
English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 62819/95882 (66%)
造訪人次 : 4005466      線上人數 : 500
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/72563


    題名: Tests of Regime-Switching CAPM
    作者: Huang, Ho-chuan
    貢獻者: 淡江大學財務金融學系
    日期: 2000-09
    上傳時間: 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
    顯示於類別:[財務金融學系暨研究所] 期刊論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    index.html0KbHTML99檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋