A time-varying perspective on the CAPM and downside betas

作者：Tsai Hsiu Jung; Chen Ming Chi^*; Yang Chih Yuan

来源：International Review of Economics & Finance, 2014, 29: 440-454.

DOI：10.1016/j.iref.2013.07.006

• Downside beta
• CAPM beta
• Time-varying
• DCC
• Developed countries

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.

• 出版日期2014-1
• 单位中山大学