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A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk 具有时变因素和特殊风险的动态资产定价模型
Pub Date : 2009-04-13 DOI: 10.1093/JJFINEC/NBP006
Paskalis Glabadanidis
This paper uses a multivariate GARCH model to account for time variation in factor loadings and idiosyncratic risk in improving the performance of the CAPM and the three-factor Fama--French model. I show how to incorporate time variation in betas and the second moments of the residuals in a very general way. Both the static and conditional CAPM substantially outperform the three-factor model in pricing industry portfolios. Using a dynamic CAPM model results in a 30% reduction in the average absolute pricing error of size/book-to-market portfolios. Ad hoc analysis shows that the market beta of a value-minus-growth portfolio decreases whenever the default premium increases as well as during economic recessions. Copyright The Author 2009. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.
本文使用多元GARCH模型来解释因子负载和特质风险的时间变化,以提高CAPM和三因素Fama- French模型的性能。我展示了如何以一种非常一般的方式将时间变化和残差的二阶矩结合起来。在行业投资组合定价方面,静态和条件CAPM都大大优于三因素模型。使用动态CAPM模型可以将规模/账面市值比投资组合的平均绝对定价误差降低30%。特设分析表明,无论违约溢价增加还是经济衰退期间,价值-增长组合的市场贝塔值都会下降。版权所有作者2009。牛津大学出版社出版。版权所有。有关许可,请发送电子邮件:journals.permissions@oxfordjournals.org.,牛津大学出版社。
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引用次数: 8
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OUP: Journal of Financial Econometrics
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