A Time-varying Perspective on the CAPM and Downside Betas

Title	A Time-varying Perspective on the CAPM and Downside Betas
Creator	陳明吉 Tsai, Hsiu-Jung; Chen, Ming-Chi ; Yang, Chih-Yuan
Contributor	財管系
Key Words	Downside beta;CAPM beta;Time-varying;DCC;Developed countries
Date	2014-01
Date Issued	17-Nov-2014 10:52:15 (UTC+8)
Summary	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.
Relation	International Review of Economics and Finance, 29, 440-454
Type	article

dc.contributor	財管系	en_US
dc.creator (作者)	陳明吉	zh_TW
dc.creator (作者)	Tsai, Hsiu-Jung; Chen, Ming-Chi ; Yang, Chih-Yuan	en_US
dc.date (日期)	2014-01	en_US
dc.date.accessioned	17-Nov-2014 10:52:15 (UTC+8)	-
dc.date.available	17-Nov-2014 10:52:15 (UTC+8)	-
dc.date.issued (上傳時間)	17-Nov-2014 10:52:15 (UTC+8)	-
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/71498	-
dc.description.abstract (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.	en_US
dc.format.extent	1667741 bytes	-
dc.format.mimetype	application/pdf	-
dc.language.iso	en_US	-
dc.relation (關聯)	International Review of Economics and Finance, 29, 440-454	en_US
dc.subject (關鍵詞)	Downside beta;CAPM beta;Time-varying;DCC;Developed countries	en_US
dc.title (題名)	A Time-varying Perspective on the CAPM and Downside Betas	en_US
dc.type (資料類型)	article	en