| 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 | 17-十一月-2014 10:52:15 (UTC+8) | - |
| dc.date.available | 17-十一月-2014 10:52:15 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-十一月-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 |
