跨期β系数时变结构研究  

An Innovative Study on Time-Varying Structure of Betas

作　　者：苏治[1] 丁志国[2] 方明[3] 

机构地区：[1]清华大学经济管理学院 [2]吉林大学数量经济研究中心 [3]吉林大学数学学院

出　　处：《数量经济技术经济研究》2008年第5期135-145,共11页Journal of Quantitative & Technological Economics

基　　金：中国博士后科学基金(20070410539);国家自然科学基金项目(70573040);2006年国家社会科学基金项目(06CJL006);2005年教育部重大项目(05JJD790005);2006年教育部留学归国人员科研启动基金项目(2006331);985国家经济分析与预测哲学社会科学创新基地资助

摘　　要：β系数时变性是现代资产定价理论研究的热点问题之一,但国内外已有研究局限于β系数时变性实证检验和β系数估计方法的改进。本文基于经典CAPM理论和微分方程理论,研究跨期条件下β系数时变机理,从理论研究角度出发推导出跨期β系数时变结构方程,并运用数值优化方法求解,然后实证模拟了均衡市场条件下有效前沿的动态轨迹及跨期β系数的时变路径,在理论上完善和发展了现代资产定价理论,提升了β系数对现实金融市场现象的解释能力。The study for the time-varying of Betas is one of the hot topics in modern capital pricing theory, the literatures from domestic and abroad have been limited to empirical tests and improvement in estimation methods. But in this paper, we applied classical CAPM theory, together with differential equation knowledge to investigate and research the determinants of the inter-temporal Betas as well as the relation between the Betas, even deduced the theoretical structure of time-varying Betas, furtherly, attained the numerical solution of the Betas resorting to the optimal method. What＇s more is that we gave an empirical example from a company to show the dynamic efficient frontier and the trace of the Beta each period. All of these perfect and develop the modern capital pricing theory, also improve the explanatory power of the Beta for the real phenomena of finance markets.

关 键 词：Β系数 跨期 时变结构 CAPM 

分 类 号：F830.91[经济管理—金融学]