代写论文:证券回归测试

代写论文:证券回归测试

在测试C2和C3时,首先确定了早期横截面测试。早期横截面测试基本上是一个回归测试。这些早期的经验测试被认为是基于市场测试中的安全回报。对平均安全收益进行回归并返回评估估计。该测试基本上确定CAPM模型中确定的切线斜率是否为正数。如果有正面截距,那么截距就是平均无风险利率。虽然这种形式的解释在观察投资者的理论回报率时表现出更积极的态度,但回归模型存在一些问题(Harlow&Rao,1989)。这里确定了两个主要问题。首先,回归中存在共同的变异来源。

代写论文:证券回归测试

这是一个问题。在该模型的情况下,存在回归残差,其中行业效应对平均回报有影响。这些形式的残差对OLS估计的影响会导致计算回归斜率及其横截面的标准误差。在斜率值计算中呈现向下偏差。其次,就个别证券的贝塔估计而言,研究人员认为可能会产生测量误差问题,因为证券本身可能非常不准确。当使用证券和使用CAPM回归的评估时,可能会导致问题不能解释平均回报。

代写论文:证券回归测试

In testing for C2 and C3, an early cross section test was first identified. The early cross section test is basically a regression test. These early empirical tests are seen to be based on the security returns in the case of market betas. A regression of the average security returns is conducted and estimates for assessment are returned. The test basically identifies for whether the tangency slope identified in the CAPM model is positive. Where there is a positive intercept then the intercept is the average risk-free interest rate. Although this form of an interpretation was observed in a more positive stance for identifying a theoretical rate of return for investors, the regression model had some problems (Harlow & Rao, 1989). There were two main problems that were identified here. Firstly, there are common sources of variation in regression.

代写论文:证券回归测试

This was an issue. In the case of the model, there are regression residuals where the industry effects have an influence on average returns. These forms of residuals impact on the OLS estimates leadto standard errors in the calculation of the regression slopes and its cross section. A downward bias is exhibited in the slope value calculations. Secondly, in the case of estimates of beta for individual securities, researchers argued that measurement error problems could be created because the securities themselves could be very imprecise. When the securities and the assessment using CAPM regression were used, it could result in issues inexplaining the average returns.