A CCAPM with Time-varying Betas and Its Applications in Chinese Stock Market

Mingyuan Guo; Shiying Zhang; Guangyao Huo

首页> 外文期刊>Journal of Systems Science and Information >A CCAPM with Time-varying Betas and Its Applications in Chinese Stock Market

【24h】

A CCAPM with Time-varying Betas and Its Applications in Chinese Stock Market

机译：Beta随时间变化的CCAPM及其在中国股市中的应用

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

Investors usually require premiums to compensate those components of risk that cannot be diversified away. Investors' risk premiums is changing with the business cycles. In this paper we study the CCAPM allowing for the time-varying beta. The time-varying betas are estimated from GARCH model. Prom the estimation results, we can see that the systematic risk coefficient betas of certain industry change when the volatility changes.

机译：投资者通常需要保费来补偿无法分散的风险部分。投资者的风险溢价随着商业周期的变化而变化。在本文中，我们研究允许时变beta的CCAPM。随时间变化的beta是根据GARCH模型估算的。从估算结果中可以看出，当波动率发生变化时，某些行业的系统风险系数beta会发生变化。

著录项

来源
《Journal of Systems Science and Information》 |2006年第3期|p.451-454|共4页
作者
Mingyuan Guo; Shiying Zhang; Guangyao Huo;
展开▼
作者单位

School of Management, Tianjin University, Tianjin 300072, China;

展开▼
收录信息
原文格式 PDF
正文语种 eng
中图分类计算技术、计算机技术;
关键词
conditional capital asset pricing model (CCAPM ); time-varying betas; GARCH model;

机译：条件资本资产定价模型（CCAPM）;时变beta;GARCH模型;

相似文献

外文文献
中文文献
专利

1. A CCAPM with Time-varying Betas and Its Applications in Chinese Stock Market [J] . Mingyuan, Guo, Shiying, 系统科学与信息学报：英文版 . 2006,第003期

机译：Beta随时间变化的CCAPM及其在中国股票市场中的应用
2. Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market [J] . Rongquan Bai, Zuoquan Zhang, Menggang Li Journal of applied mathematics . 2013,第Pta4期

机译：限价贝塔估计及其在中国股市中的应用
3. Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market [J] . RongquanBai, ZuoquanZhang, MenggangLi Journal of applied mathematics . 2013,第1期

机译：限价贝塔估计及其在中国股市中的应用
4. Realized Range-based Beta and Its Application in Chinese Stock Market [C] . Guo Ming-yuan IEEE international conference on industrial engineering and engineering management;IEEM'2009 . 2009

机译：基于范围的已实现Beta及其在中国股票市场中的应用
5. Issues of market efficiency in the Chinese stock markets: I. Day-of-the-week effect, month-of-the-year effect and turn-of-the-month effect in China's stock markets. II. Are the two stock markets (Shanghai and Shenzhen) in China integrated or segmented? III. The effects of re-imposing a 10% price limit on the Chinese stock markets. [D] . Feng, Licheng. 1999

机译：中国股票市场的市场效率问题：I.中国股票市场的周日效应，月度效应和月度效应。二。中国的两个股票市场（上海和深圳）是整合还是细分？三，重新对中国股市施加10％的价格限制的影响。
6. Sign realized jump risk and the cross-section of stock returns: Evidence from Chinas stock market [O] . Youcong Chao, Xiaoqun Liu, Shijun Guo -1

机译：标志已实现的跳跃风险和股票收益的横截面：来自中国股市的证据
7. Market risk in demutualized self-listed stock exchanges: An international analysis of selected time-varying betas [O] . Worthington Andrew, Higgs Helen 2006

机译：股份制自上市股票交易所的市场风险：某些时变贝塔的国际分析

A CCAPM with Time-varying Betas and Its Applications in Chinese Stock Market

摘要

著录项

相似文献

相关主题

期刊订阅