Investors usually require premiums to compensate those components of risk that cannot be diversified away. Investors＇ risk premiums is changing with the business cycles. In this paper we study the CCAPM allowing for ...Investors usually require premiums to compensate those components of risk that cannot be diversified away. Investors＇ risk premiums is changing with the business cycles. In this paper we study the CCAPM allowing for the time-varying beta. The timevarying betas are estimated from GARCH model. From the estimation results, we can see that the systematic risk coefficient betas of certain industry change when the volatility changes.展开更多
文摘Investors usually require premiums to compensate those components of risk that cannot be diversified away. Investors＇ risk premiums is changing with the business cycles. In this paper we study the CCAPM allowing for the time-varying beta. The timevarying betas are estimated from GARCH model. From the estimation results, we can see that the systematic risk coefficient betas of certain industry change when the volatility changes.
