資本資產訂價模型之與時變動參數估計方法

The Estimation Method for Time-varying Parameters in Capital Asset Pricing Model

蘇懿(Yi Su)

《智慧科技與應用統計學報》 5卷1期 (2007/06) Pp. 49-58

https://doi.org/10.29807/JTITAS.200706.0004

摘要

資本資產訂價模型的β參數，在財務決策的風險評估中扮演著重要的角色。但許多研究均證實β參數會隨著時問而改變，並稱此類參數為「與時變動參數」。傳統對於與時變動參數的估計，均假設參數在時問上的變動是緩慢的。因此本研究利用上述特性，以共同基金的資本資產訂價模型為考慮對象，對與時變動參數提出簡單有效的兩階段估計方法。本文首先以利用滾動迴歸模型對與時變動參數進行第一階段估計，其次利用smoothing spline的方法對滾動迴歸的估計結果進行第二階段估計。最後為了解兩階段估計方法的結果，本研究也利用一般最常被使用在與時變動參數估計上的state space與滾動迴歸兩種方法進行比較。此外本研究也以投資在台灣股票市場的共同基金進行實證分析，以了解共同基金的投資效益評估。

關鍵字

資本資產訂價模型 ； 兩階段估計 ； 與時變動參數

並列摘要

Following the development of economy and the diversification of investment, mutual fund is a popular investment tool nowadays. How to choose an excellent mutual fund becomes more and more important for the investors. The Capital Asset Pricing Model (CAPM) has been widely used in the capital cost estimation and performance of mutual funds. However, it is well known that asset returns may not be stationary in practice; and the system risk beta is instable over time. The parameters which change over time are called time-varying parameters. In this study, we propose a new two phase approach for estimating the time-varying parameters of CAPM. For the purpose of evaluating the efficiency of our method, we compare it with commonly used state space model and rolling regression methods. The results show that our method is more efficient in most scenarios and the proposed approach is very practical. Finally, we use our two phase estimation method to evaluate the performance of equity mutual funds which invest in the Taiwan stock market.

並列關鍵字

CAPM ； two-phase estimation ； time-varying parameter