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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/71498

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/71498

Title:	A Time-varying Perspective on the CAPM and Downside Betas
Authors:	陳明吉 Tsai, Hsiu-Jung;Chen, Ming-Chi;Yang, Chih-Yuan
Contributors:	財管系
Keywords:	Downside beta;CAPM beta;Time-varying;DCC;Developed countries
Date:	2014-01
Issue Date:	2014-11-17 10:52:15 (UTC+8)
Abstract:	In the current study, we focus on the capital asset pricing model (CAPM) beta and downside betas. The empirical results of market index returns in the international samples of 23 developed countries exhibit significant differences between the CAPM and downside betas, indicating that these models capture distinct risks. Considering autocorrelation variance, the DCC downside betas (HW-beta and HR-beta) more effectively explain the expected stock market returns than does the CAPM beta.
Relation:	International Review of Economics and Finance, 29, 440-454
Data Type:	article
Appears in Collections:	[財務管理學系] 期刊論文

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