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研究生(外文):Nguyen Thi Hang Nga
論文名稱(外文):A Study on an Asymmetric Capital Asset Pricing Model with Heteroskedasticity
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Capital Asset Pricing Model (CAPM) is an important benchmark for studying the relationship between market returns and portfolio returns. The constant beta coefficient found in the CAPM is over-simplified, and therefore proposing a more general time-varying model that focuses on valuing risky securities and market portfolios is the motivation of this thesis. This thesis intends to model a time-varying market beta coefficient in CAPM by employing an asymmetric CAPM with heteroskedasticity. The quantile regression is also considered to explore the different behaviour in the market beta coefficients under a range of quantile levels. The proposed model is illustrated by the daily excess returns of sixteen stocks from the Dow Jones Industrial Average. There is strong evidence that suggests that news may have an asymmetric effect on the stock excess returns. This confirms that negative news result downward revison on stock returns and positive news result upward revision on stock returns, however, the magnitude of negative news is generally more severe. Quantile regression indicates that the market beta coefficients have distinct performance over different quantile levels of the stock excess returns.
Acknowledgements i
Abstract ii
Table of Contents iii
List of Figures iv
List of Tables v
2.1. ARCH and GARCH Models 6
2.2. Quantile regression 8
2.3. The asymmetric CAPM under different quantile levels 9
3.1. The Kolmogorov-Smirnov Test 11
3.2. Assumption for error terms 11
3.3. Diagnostic checking 12
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