Journal of Empirical Finance 37 (2016) 268–281

資本資産定價模型：基于時變波動的檢驗

作者：Kun Ho Kim, Taejin Kim

摘要：本文提出了一個方法以實現資本資産定價模型（CAPM）中波動性的統一推導。相關理論可用于構建波動性的統一置信區間。通過該方法檢驗美國股票收益數據，結果發現美國六大高市值股票的波動參數存在強相關性。另外，CAPM中波動性不變的假設被拒絕，主要是因為21世紀初和2008年金融危機期間波動性的激增。

關鍵詞：資本資産定價模型，時變波動，非系統風險，統一推導，聯動性，金融危機

Capital asset pricing model: A time-varying volatility approach

Kun Ho Kim, Taejin Kim

ABSTRACT

In this paper, we propose a methodology to conduct uniform inference of volatility in the capital asset pricing model (CAPM). To that end, relevant theory is employed to construct the uniform confidence band of the volatility in the CAPM. The methodology is applied to the U.S. stock return data. The empirical results show strong evidence of co-movement among the volatility estimates for six U.S. stocks of large market capitalization. The hypothesis of constant volatility for the CAPM is rejected unanimously, mainly due to the surge in volatility in the early 2000s and during the 2008 financial crisis.

Keywords: Capital asset pricing model; Time-varying volatility; Idiosyncratic risk; Uniform inference; Co-movement; Financial crisis

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S0927539816300032

翻譯：羅丹