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首页> 外文期刊>International journal of finance & economics >Which measure of systematic risk should we use? An empirical study on systematical risk and Treynor measure using the economic index of riskiness and operational measure of riskiness
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Which measure of systematic risk should we use? An empirical study on systematical risk and Treynor measure using the economic index of riskiness and operational measure of riskiness

机译：我们应该使用哪种系统风险？利用危险风险经济指标的系统风险与特灵线措施的实证研究

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This paper empirically studies the differences among the systematic risks of three asset pricing models, namely; the mean-variance capital asset pricing model (MV-CAPM), AS-CAPM and FH-CAPM. The last two are derived by replacing variance with the Aumann-Serrano (AS) index and the Foster-Hart (FH) as the risk measure in MV-CAPM. We use the Dow Jones Industrial Average (DJIA) index as a proxy for the market portfolio, and its component stocks to check if the systematic risks and the Treynor measures are different. The monthly return data from January 1997 to October 2017 are used for empirical estimations. The results show that the three systematic risks are highly correlated. Similarly, high correlation is also found for the three Treynor measures. It seems that even though they are derived under different risk measures, they produce almost the same systematic risk and performance measure for individual stocks. Therefore the findings of the present study suggest that any of the above measures can be used in empirical finance in the area of risk management. As this finding is different from those of other studies in the existing literature in this area, this study makes a contribution to the finance literature.
机译：本文凭经验研究了三种资产定价模型的系统风险之间的差异，即;平均方差资本资产定价模型（MV-CAPM），AS-CAPM和FH-CAPM。最后两个是通过用Aumann-Serrano（AS）索引和Foster-Hart（FH）的差异来导出，作为MV-Capm中的风险测量。我们使用Dow Jones工业平均指数（DJIA）指数作为市场组合的代理，以及其组件股票检查系统风险和TREYNOR措施是否不同。 2017年1月至2017年10月的月度返回数据用于实证估算。结果表明，三种系统风险高度相关。类似地，还发现了三种Treynor测量的高相关。似乎即使它们是在不同的风险措施下得出的，它们也会产生几乎相同的个体股票的系统风险和性能措施。因此，本研究的结果表明，任何上述措施都可以在风险管理领域的经验金融中使用。由于这一发现与本领域现有文学中的其他研究的发现不同，这项研究对金融文学作出了贡献。

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