English  |  正體中文  |  简体中文  |  Items with full text/Total items : 58286/91808 (63%)
Visitors : 13813544      Online Users : 58
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72564


    Title: Tests of the CAPM under Structural Changes
    Authors: Huang, Ho-chuan;Cheng, Wan-hsiu
    Contributors: 淡江大學財務金融學系
    Keywords: CAPM;beta;structural change
    Date: 2005-12
    Issue Date: 2011-10-24 10:33:44 (UTC+8)
    Publisher: Abingdon, Oxon: Routledge
    Abstract: In accordance with the empirical regularity of time-varying betas we estimate and test for the Sharpe–Lintner CAPM by allowing for structural change(s) in betas. Empirical applications using BM- and size-sorted decile portfolios suggest the following interesting results. Firstly, there exists at least one break for all the portfolios under consideration. Secondly, the estimated break dates are quite similar for some of the portfolios, indicating the possible existence of a common break using multivariate time series. Finally, we find the CAPM can be consistent with the data in some regimes but may appear to be inconsistent with the data in some other regimes. This particularly appealing feature has been completely ruled out under the conventional single-equation framework.
    Relation: International Economic Journal 19(4), pp.523-541
    DOI: 10.1080/10168730500381990
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML33View/Open
    Tests of the CAPM under Structural Changes.pdf220KbAdobe PDF1View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


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