文章基本信息

标题：Autoregressive conditional beta
本地全文：下载
作者：Yunmi Kim
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2012
卷号：32
期号：2
页码：1489-1494
出版社：Economics Bulletin
摘要：The capital asset pricing model provides various predictions about equilibrium expected returns on risky assets. One key prediction is that the risk premium on a risky asset is proportional to the nondiversifiable market risk measured by the asset's beta coefficient. This paper proposes a new method for estimating and drawing inferences from a time-varying capital asset pricing model. The proposed method, which can be considered a vector autoregressive model for multiple beta coefficients, is different from existing time-varying capital asset pricing models in that the effects of an exogenous variable on an asset's beta coefficient can be unambiguously determined and the codependence between the beta coefficients of individual assets can be measured and estimated.
关键词：Capital Asset Pricing Model; Beta Coefficient; Autoregressive Model