Some Further Evidence on the Stochastic Properties of Systematic Risk
Some Further Evidence on the Stochastic Properties of Systematic Risk
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关于系统风险随机特性的一些进一步证据
DOI：
10.1086/296405
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发表时间：
1987
期刊：
影响因子：
--
通讯作者：
Judy Rayburn
中科院分区：
文献类型：
--
作者：
D. Collins;J. Ledolter;Judy Rayburn
尽管金融文献一致认为股本证券的贝塔风险是随机的，但对于这种变化是纯粹随机的还是随着时间的推移表现出自相关性，存在很大的分歧。为了研究这个问题，作者采用了一个模型，允许 beta 同时表现出随机和自回归行为。他们根据大量个体证券样本和随机形成的包含 10、50 和 100 种证券的投资组合的替代规范来测试该模型。还提供了根据公司规模形成的投资组合的结果。芝加哥大学版权所有 1987。
Although there is consensus in the finance literature that the beta risk of equity securities is stochastic, there is considerable disagreement as to whether the var iation is purely random or exhibits autocorrelation through time. To investigate this issue, the authors employ a model that allows beta t o exhibit both random and autoregressive behavior simultaneously. The y test this model against alternative specifications on a large sampl e of individual securities and randomly formed portfolios comprising 10, 50, and 100 securities. Results are also presented for portfolios formed according to firm size. Copyright 1987 by the University of Chicago.