Capital asset pricing model: A time-varying volatility approach
Publication in refereed journal

香港中文大學研究人員
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摘要In this paper, we propose a methodology to conduct uniform inference of volatility in the capital asset pricing model (CAPM). To that end, relevant theory is employed to construct the uniform confidence band of the volatility in the CAPM. The methodology is applied to the U.S. stock return data. The empirical results show strong evidence of co-movement among the volatility estimates for six U.S. stocks of large market capitalization. The hypothesis of constant volatility for the CAPM is rejected unanimously, mainly due to the surge in volatility in the early 2000s and during the 2008 financial crisis.
著者Kim K.H., Kim T.
期刊名稱Journal of Empirical Finance
出版年份2015
月份5
日期27
卷號37
出版社Elsevier BV
出版地Netherlands
頁次268 - 281
國際標準期刊號0927-5398
語言英式英語
關鍵詞Capital asset pricing model, Co-movement, Financial crisis, Idiosyncratic risk, Time-varying volatility, Uniform inference

上次更新時間 2021-14-10 於 23:38