政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/71498

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113656/144643 (79%)
Visitors : 51725445 Online Users : 612

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大典藏 > College of Commerce > Department of Finance > Periodical Articles > 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:	[Department of Finance] Periodical Articles

Files in This Item:

File	Description	Size	Format
440-454.pdf		1628Kb	Adobe PDF2	978	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...