Evaluating the International CAPM from a Distributional Perspective
2005/03/08
研討會日期 : 2005-03-08
時間 : 15:00
主講人 : Prof. Lu, Ching-Chih
地點 : B棟110室
演講者簡介 : Prof. Lu, Ching-Chih 為 Ph.D. in Economics, Columbia University (Expected May 2005)。
其主要研究領域為Financial Economics、Mathematical and Quantitative Methods及International Economics。
演講摘要 : We attempt to determine whether the value anomaly in the international CAPM is due to an erroneous distributional assumption, especially the misspecification of lower tail dependence. In order to verify this, we use stylized copula models to examine different dependence structures that are more general than the classical normal distribution assumption. In the unconditional case we find that the best fitting copula differs, depending on the assumed marginal distribution, and the normal copula is not the best dependence structure even if the marginals are normal. If the nonparametric marginal distributions are applied, the rotated Gumbel or t copula performs better in several tests we conduct for both the growth and value portfolios. Taken at face value, this suggests that downside risk can be observed with a well-specified joint distribution between market and test portfolios, but it cannot be linked to the value anomaly. In the conditional case we use GARCH (1,1) and t-GARCH (1,1) for the marginals. Again, the best fit does not comes from a normal copula. We conclude that the value anomaly is not due to extreme dependence, although such extreme dependence does exis.
