CAPM (Capital asset pricing model) is widely used in asset pricing, project\nevaluating and investment deciding. Beta coefficient, one of the core tasks of\nCAPM, its accuracy and stability are of great significance. Weekly China�s\nstock return data have been used. Firstly, analyzed the differences of mean\nvalue, maximum value and minimum value of beta coefficients which regressed\nby different length of time. Secondly, introduced T statistic to test the\nmean difference of beta which regressed by different length of time. Thirdly,\nused dummy variables to test the stability of beta coefficients and found that\nthe optimal length of time for beta estimating was 12 months. In addition,\nseveral investigations about the relationship between the stability of bate coefficients\nand markets, industries, market size have been done finally.
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