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    题名: 結構性轉變下資本資產定價模型之檢定
    其它题名: Tests of the CAPM under Structural Change
    作者: 黃河泉;鄭婉秀
    贡献者: 淡江大學財務金融學系
    关键词: 資本資產定價模式;結構性改變;Beta結構;Capital Asset Pricing Model;Structural Change;Beta-Structure
    日期: 2003-10
    上传时间: 2014-02-11 23:58:31 (UTC+8)
    摘要: In accordance with the empirical regularity of time-varying betas, following the work of Bai and Perron (1998, 2003), we estimate and test for the Sharpe-Lintner CAPM by allowing for structural change (s) in betas. Empirical applications using BM- and size-sorted quintile 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: 第二屆全國應用經濟學術研討會論文集,頁1-26
    显示于类别:[財務金融學系暨研究所] 會議論文

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