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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/95247

    Title: 結構性轉變下資本資產定價模型之檢定
    Other Titles: Tests of the CAPM under Structural Change
    Authors: 黃河泉;鄭婉秀
    Contributors: 淡江大學財務金融學系
    Keywords: 資本資產定價模式;結構性改變;Beta結構;Capital Asset Pricing Model;Structural Change;Beta-Structure
    Date: 2003-10
    Issue Date: 2014-02-11 23:58:31 (UTC+8)
    Abstract: 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.
    Relation: 第二屆全國應用經濟學術研討會論文集,頁1-26
    Appears in Collections:[財務金融學系暨研究所] 會議論文

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