淡江大學機構典藏:Item 987654321/72564
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    題名: Tests of the CAPM under Structural Changes
    作者: Huang, Ho-chuan;Cheng, Wan-hsiu
    貢獻者: 淡江大學財務金融學系
    關鍵詞: CAPM;beta;structural change
    日期: 2005-12
    上傳時間: 2011-10-24 10:33:44 (UTC+8)
    出版者: Abingdon, Oxon: Routledge
    摘要: 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.
    關聯: International Economic Journal 19(4), pp.523-541
    DOI: 10.1080/10168730500381990
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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