英国曼彻斯特代写论文:回归模型

2017-11-21 23:09

我们知道，在回归模型的残差之间存在相关性时，我们无法从该模型中得出准确的推论。Fama和Macbeth(1973)提出了一个解决这个推理问题的方法。他们根据月度数据进行了回报的回归，而不是对beta的平均回报进行单一的横截面回归。在这种方法中，方法的标准误差和时间序列的方法可以用来检查beta的平均溢价是否为正，以及资产的回报率是否等于平均无风险利率。Jensen(1968)指出sharpel - lintner模型也意味着时间序列回归测试。根据sharpel - lintner模型，平均实现的CAPM风险溢价解释了资产超额回报的平均值。回归中的截距项是“Jensen ' s alpha”。时间序列回归采用了如下形式:早期研究中我们拒绝了CAPM的sharpel - lintner模型。虽然平均回报与贝塔系数之间存在正相关，但它过于平淡。在Sharpe-Lintner模型中，截距表示无风险利率，而斜率项表示风险中性利率的预期市场回报。在该回归模型中，截距大于风险中性率，且其系数小于。在Jensen的研究中，30年周期的p值仅为0.02，表明无效假设被拒绝了5%的显著性水平。5年和10年的次期证明了对该模型所施加的限制的最有力的证据。
英国曼彻斯特代写论文:回归模型
We know that when there exists a correlation among the residuals of the regression model, we cannot draw accurate inference from that. Fama and Macbeth (1973) suggested a method to address this inference problem. They ran the regression of returns on beta based on the monthly data rather than estimating a single cross-section regression of the average returns on beta. In this approach the standard error of the means and the time series means can be used to check whether the average premium for beta is positive and whether the return on the asset is equal to the average risk free interest rate. Jensen (1968) noted that Sharpe-Lintner model also implies a time series regression test. According to Sharpe-Lintner model, the average realized CAPM risk premium explains the average value of an asset’s excess return. The intercept term in the regression entails that “Jensen’s alpha”. The time series regression takes the following form:In early studies we reject Sharpe-Lintner model for CAPM. Although there exists a positive relation between average return and beta, it’s too flat. In Sharpe-Lintner model the intercept stands for the risk free rate and the slope term indicates the expected market return in access of the risk neutral rate. In that regression model the intercept is greater than the risk neutral rate and the coefficient on beta is less than . In Jensen’s study the p value for the thirty years period is 0.02 only which indicates that the null hypothesis is rejected at 5% significance level. The five and ten year sub-period demonstrates the strongest evidence against the restrictions imposed by the model.

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