Journal of Empirical Finance 37 (2016) 268–281

资本资产定价模型：基于时变波动的检验

作者：Kun Ho Kim, Taejin Kim

摘要：本文提出了一个方法以实现资本资产定价模型（CAPM）中波动性的统一推导。相关理论可用于构建波动性的统一置信区间。通过该方法检验美国股票收益数据，结果发现美国六大高市值股票的波动参数存在强相关性。另外，CAPM中波动性不变的假设被拒绝，主要是因为21世纪初和2008年金融危机期间波动性的激增。

关键词：资本资产定价模型，时变波动，非系统风险，统一推导，联动性，金融危机

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

原文链接：

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

翻译：罗丹