A time-varying perspective on the CAPM and downside betas

Hsiu Jung Tsai, Ming Chi Chen*, Chih Yuan Yang

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

19 引文 斯高帕斯(Scopus)

摘要

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.

原文英語
頁(從 - 到)440-454
頁數15
期刊International Review of Economics and Finance
29
DOIs
出版狀態已發佈 - 2014 1月
對外發佈

ASJC Scopus subject areas

  • 金融
  • 經濟學與計量經濟學

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