时变贝塔资本资产定价模型实证研究

经济理论与经济管理 ›› 2008, Vol. ›› Issue (12): 51-56.

时变贝塔资本资产定价模型实证研究

林清泉, 荣琪

中国人民大学财政金融学院北京 100872

收稿日期:2008-08-26 出版日期:2008-12-16 发布日期:2012-02-23

AN EMPIRICAL STUDY ON THE TIME-VARYING BETA MODEL

LIN Qing-quan, RONG Qi

The School of Finance Renmin University of China, Beijing 100872, China

Received:2008-08-26 Online:2008-12-16 Published:2012-02-23

摘要/Abstract

摘要： 自从1964年CAPM模型提出以来,学术界对它的研究就一直没有停止过。在理论层面,通过放松和改变假设得到了新的模型;在实证层面,则是应用新的实证方法验证理论模型的正确性。最新提出的多元GARCH模型具有预测多元资产条件协方差矩阵的功能,因此将这一特性应用于CAPM模型的研究中就成为了一个独特的视角。通过实证研究发现,这种时变贝塔能够更精确地刻画单个资产相对于市场组合的风险大小。

关键词: 多元GARCH, 条件异方差矩阵, 时变贝塔

Abstract: Since the CAPM model was put forward in 1964,studies on the model have never ceased.In theoretical studies,new models were deduced by loosing and changing assumptions;in empirical studies,the theoretic models were tested by using new empirical methods.The newly deduced multi-GARCH model can predict the covariance matrix of multidimensional assets,and this characteristic can be applied in studying the CAPM model and provides a unique perspective.Empirical evidence of this paper shows that the modified time-varying beta model can describe the magnitudes of the risks of individual assets with respect to market portfolios more precisely.

Key words: the multi-GARCH model, conditional heteroscedasticity matrix, time-varying β

中图分类号:

F830.9

林清泉, 荣琪. 时变贝塔资本资产定价模型实证研究[J]. 经济理论与经济管理, 2008, (12): 51-56.

LIN Qing-quan, RONG Qi. AN EMPIRICAL STUDY ON THE TIME-VARYING BETA MODEL[J]. Economic Theory and Business Management, 2008, (12): 51-56.

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