English  |  正體中文  |  简体中文  |  Items with full text/Total items : 52047/87178 (60%)
Visitors : 8677015      Online Users : 95
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/987654321/95262

    Title: Tests of the CAPM under Structural Change
    Authors: Huang, Ho-Chuan (River);Cheng, Wan-Hsiu
    Contributors: 淡江大學財務金融學系
    Keywords: CAPM;Beta;Structural change
    Date: 2003-05
    Issue Date: 2014-02-12 00:00:24 (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 on 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 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: 2003兩岸財經學術研討會論文集=Proceedings of 2003 Straits Conference on Economics and Business,28頁
    Appears in Collections:[財務金融學系暨研究所] 會議論文

    Files in This Item:

    File SizeFormat
    Tests of the CAPM under Structural Change_英文摘要.docx16KbMicrosoft Word102View/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