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題 名 | 自身條件異質之資產訂價模式=Autoregressive Conditional Heteroskedasticity in Asset Pricing Models |
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作 者 | 洪仁杰; | 書刊名 | 國立屏東技術學院學報 |
卷 期 | 5:1 1996.03[民85.03] |
頁 次 | 頁65-74 |
分類號 | 553.721 |
關鍵詞 | 資本資產訂價模式; 套利訂價理論; 自身條件異質; Capital asset pricing model; Arbitrage pricing theory; ARCH; |
語 文 | 中文(Chinese) |
中文摘要 | 資本資產訂價模式(capital asset pricing model, CAPM)與套利訂價理論 (arbitrage pricing theory, APT) 為當代財務管理學中最著名的市場均衡資產訂價模式。 其基本的精神在於認為風險性資產的報酬率與一個或多個市場共同的因素(common factors, 即系統風險,β ) 存在線性關係。傳統有關風險與報酬的關係之研究,常假設預 期報酬的變異數固定,而忽略了風險的波動性。直到 Engle (1982) 提出自身迴歸條件異質 (autoregressive conditional heteroskedasticity, ARCH) 模型,財務學界才逐漸廣泛運 用二階 (或更高階 ) 動差來建構時間變異 (time variation) 模式。 本研究有系統地回顧 有關包括 CAPM 及 APT 的市場均衡資產訂價模式與 ARCH 模型的研究文獻, 並提出 ARCH 之 APT 模式未來可能的研究方向:1.ARCH 與實證交易資料的觀察頻率是否有關;2.APT 模 式下,交易量與 ARCH 之關係;3.APT 模式下,市場趨勢與 ARCH 之關係。 |
英文摘要 | Capital Asset Pricing Model(CAPM) and Arbitrage Pricing Theory(APT) are the two most well known market equilibrium asset pricing models in contemporaneous financial management. The fundamental spirits of market equilibrium asset pricing models are that there exists a linear relationship between returns of risky assests and one or many common factors (i.e. β ). However, traditional studies between risks and returns usually assume the constancy of variances of expected returns and thus neglect the volatilities of risks. It is not recently that applied researchers recognized the importance of timevarying second order moments till Engle (1982) proposes his Autoregressive Conditional Heteroskedasticity (ARCH) model. This paper contains a review of the empirical studies between market equilibrium asset pricing models and ARCH. Several suggestions for future research are made, such as the impacts of using different data observing indtervals to ARCH, the relationship between proxies (such as trading volumes) and ARCH under APT, and the relationship between market trends and ARCH under APT. |
本系統中英文摘要資訊取自各篇刊載內容。