search query: @indexterm Multivariate analysis / total: 102
reference: 46 / 102
| Author: | NG, L. |
| Title: | Tests of the CAPM with time-varying. Covariances : a multivariate GARCH approach |
| Journal: | Journal of Finance
1991 : SEP, VOL. 46:4, p. 1507-1521 |
| Index terms: | CAPITAL ASSET PRICING FINANCIAL MODELS MULTIVARIATE ANALYSIS |
| Language: | eng |
| Abstract: | An asset pricing model is examined, in which the Sharpe-Lintner CAPM and the zero-beta CAPM are special cases. The model allows the ratio of expected market risk premium to market variance, the conditional expected excess returns, and risks to change over time. The results one found to be sensitive to the choice of the portfolio formation techniques. Significant time variablity is shown in the conditional expected excess asset returns and risks and also in the reward-to-risk ratio. |
SCIMA