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    題名: Tests of the CAPM under Structural Change
    作者: Huang, Ho-Chuan (River);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: 2003-05
    上傳時間: 2014-02-12 00:00:24 (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 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.
    關聯: 2003兩岸財經學術研討會論文集=Proceedings of 2003 Straits Conference on Economics and Business,28頁
    顯示於類別:[財務金融學系暨研究所] 會議論文


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