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非线性资本资产定价模型：基于时变贝塔系数的实证研究

Author

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  • 方颖
  • 何泽
  • 任宇

Abstract

本文将资本资产定价模型分别与门限模型、平滑转化模型和区制转移模型相结合，用以描述贝塔系数在不同经济条件下的时变性。利用2001年6月到2009年10月上海A股市场23个行业组合的月度数据，我们发现绝大多数行业的资本资产定价模型是非线性的。通过均方根误差比较和常数项检验，我们发现这三种非线性资本资产模型都显著优于传统的资本资产定价模型，而三种非线性资本资产定价模型的表现在不同行业中则各有优劣。

Suggested Citation

  • 方颖 & 何泽 & 任宇, 2013. "非线性资本资产定价模型：基于时变贝塔系数的实证研究," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    • Handle: RePEc:wyi:wpaper:002028
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