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Capital asset pricing model: A time-varying volatility approach

Title
Capital asset pricing model: A time-varying volatility approach
Author
김건호
Keywords
Capital asset pricing model; Time-varying volatility; Idiosyncratic risk; Uniform inference; Co-movement; Financial crisis
Issue Date
2016-06
Publisher
ELSEVIER SCIENCE BV
Citation
JOURNAL OF EMPIRICAL FINANCE, v. 37, Page. 268-281
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. (c) 2016 Elsevier B.V. All rights reserved.
URI
https://www.sciencedirect.com/science/article/pii/S0927539816300032?via%3Dihubhttp://repository.hanyang.ac.kr/handle/20.500.11754/71929
ISSN
0927-5398; 1879-1727
DOI
10.1016/j.jempfin.2016.01.014
Appears in Collections:
COLLEGE OF ECONOMICS AND FINANCE[S](경제금융대학) > ECONOMICS & FINANCE(경제금융학부) > Articles
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