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[Seminar] 財金系 11/30 (三) 中午 12:30 邀請 Dr. Wayne Chang 演講
活動起日:2016-11-29 
發佈日期:2016-11-29 
瀏覽數:302  2017-02-12 更新

本系擬於 11/30 (三) 邀請 Dr. Wayne Chang 至本所進行專題演講,相關訊息如下:

 

時間: 11/30 (三) 12:30-14:00

地點: 管理學院一號館8樓財金系會議室

講者:  Dr. Wayne Chang 

講題: The Term Structure of CAPM Alphas and Betas

 

Abstract: 

Using monthly returns to estimate portfolio alphas and betas is inappropriate for investors with longer horizons. Alphas and betas have flat term structures only under special conditions that do not hold generally. The paper develops a novel conditional moment estimation method that is simple, non-parametric, and modifies the realized volatility approach to work for longhorizon returns. Long-short portfolios sorted on size, value, and momentum have CAPM betas that can reverse sign with longer horizons. Alphas change too. At multi-year horizons, the average alpha associated with size increases while momentum’s decrease until they are of similar magnitudes