Show simple item record

dc.contributor.advisor任宇
dc.contributor.advisor王起
dc.contributor.author樊梦成
dc.date.accessioned2016-02-14T08:08:47Z
dc.date.available2016-02-14T08:08:47Z
dc.date.issued2012-07-10 16:42:00.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/49457
dc.description.abstract自从1963年以来,资本资产定价模型(CAPM)难以解释价值型股票和小股票“风险小、收益高”的现象。在Campbell(2004)中,提出了跨期资本资产定价(ICAPM)下的Two-beta模型,将传统的β分解为现金流β和折现率β,该模型认为前者有较高的风险溢价。实证结果发现,相对于增长型股票和大股票,价值型股票和小股票有较高的现金流β,这就可以解释其具有较高收益率的原因。这一结论引起了社会的普遍关注,人们开始重新审视CAPM,并发现Two-beta模型也存在诸多问题,因此,检验该模型正确与否意义重大。 在分析了缺失变量对结果的严重影响之后,Chen(2009)采用主成分分析与Two-bet...
dc.description.abstractSince 1963, capital asset pricing model (CAPM) can not explain the “anomaly” in finance that value stocks and small stocks have higher returns. Campbell (2004) broke the β into two components, cash flow β and discount rate β. Intertemporal asset pricing model suggests that the former should have a higher price of risk. He found that value stocks and small stocks, compared with growth stocks and bi...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=32317&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=33611
dc.subject跨期资本资产定价
dc.subject两个贝塔
dc.subject异常现象
dc.subjectIntertemporal Capital asset pricing model
dc.subjectTwo-beta
dc.subjectAnomaly
dc.title基于美国债券和股票市场数据对跨期资本资产定价下两个贝塔模型的检验
dc.title.alternativeA Test of Two-beta Model under Intertemporal Capital Asset Pricing Model Based on American Bond and Stock Market Data
dc.typethesis
dc.date.replied2011-05-04
dc.description.note学位:经济学硕士
dc.description.note院系专业:王亚南经济研究院_金融学(含保险学)
dc.description.note学号:27720091152400


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record