Characteristics, covariances, and structural breaks

被引：0

作者：

Chou, Pin-Huang ^{[1
]}

Ko, Kuan-Cheng ^{[1
]}

机构：

[1] Natl Cent Univ, Dept Finance, Jhongli 320, Taiwan

来源：

ECONOMICS LETTERS | 2008年 / 100卷 / 01期

关键词：

factor model; characteristics model; structural break;

D O I：

10.1016/j.econlet.2007.10.025

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

By applying Bai and Peffon's [Bai, J., Perran, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78] change-point model, we pinpoint the exact dates for structural breaks in the book-to-inarket premium. We find that overall the BM premium is better explained by Fama-French's three-factor model. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：31 / 34

页数：4

共 14 条

[1]

ANG A, 2005, CAPM LONG RUN 1926 2

[2]

Bai J., 2001, MULTIPLE STRUCTURAL

[3] Estimating and testing linear models with multiple structural changes [J].