A CCAPM with Time-varying Betas and Its Applications in Chinese Stock Market  

作　　者：Mingyuan Guo Shiying Zhang Guangyao Huo 

机构地区：[1]School of Management, Tianjin University, Tianjin 300072, China [2]Tianfin Institute of Urban Construction, Tianjin 300384, China

出　　处：《Journal of Systems Science and Information》2006年第3期451-454,共4页系统科学与信息学报（英文）

摘　　要：Investors usually require premiums to compensate those components of risk that cannot be diversified away. Investors＇ risk premiums is changing with the business cycles. In this paper we study the CCAPM allowing for the time-varying beta. The timevarying betas are estimated from GARCH model. From the estimation results, we can see that the systematic risk coefficient betas of certain industry change when the volatility changes.

关 键 词：conditional capital asset pricing model （CCAPM） time-varying betas GARCH model 

分 类 号：F832.51[经济管理—金融学]