Alternative Specifications and Estimation Methods for Determining Random Beta Coefficients: Comparison and Extensions

比較估計隨機貝它係數的方法之研究

霍熾榮(Robert C. W. Fok) ； 李正福(Cheng-Few Lee) ； 鄭治明(David C. Cheng)

《中國財務學刊》 4卷2期 (1996/10) Pp. 61-88

https://doi.org/10.6545/JoFS.1996.4(2).4

摘要

在運用投資組合理論時，貝它是否為隨機是一個很重要的問題。本研究以多種的模式與其延伸的形式來比較其所估計得到的隨機貝它係數是否有顯著差異。學理上而言，根據Theil（1971）研究模式來實詮的文獻，可能會有認定上的誤差。這個誤差源自於兩個原因：一為截距項不為零，其二為迴歸式的誤差項與與建立貝它的迴歸式中的誤差項兩者的共變異數並不為零。實證結果顯示，估計方法的選擇，相較於潛在的共線性問題與非零共變異問題，更顯著地影響偵測隨機貝它的結果。此外，迴歸結果也建議，當貝它為隨機時，系統風險的變異較純粹的系統風險與共變異風險，更能解釋異常報酬。

關鍵字

隨機貝它 ； 投資組合理論 ； 卡爾門濾嘴 ； 異常報酬

並列摘要

Whether beta is random or not is an important issue in the application of modern portfolio theory. In this study, we empirically compare alternative models and specifications used to estimate the random beta coefficient. Theoretically, specifications used by previous researchers based on Theil's (1971) procedure may be misspecified due to the inclusion of a non-zero intercept term and the assumption of non-zero covariance between the error term of regression and the error term of beta generating process. Empirical evidence reveals that the choice of estimation method, rather than the possible muliticollinearity problem and non-zero covariance term, significantly affect the results in detecting random beta. Regression results suggest that, when beta is random, variation of systematic risk may playa more significant role than the pure systematic risk and covariance risk in explaining abnormal return.

並列關鍵字

Random Beta ； Portfolio Theory ； Kalman Filter ； Abnormal Return