Characteristics, covariances, and structural breaks

Pin Huang Chou; Kuan Cheng Ko

doi:10.1016/j.econlet.2007.10.025

Characteristics, covariances, and structural breaks

Pin Huang Chou
, Kuan Cheng Ko

財務金融學系

研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

1 引文斯高帕斯（Scopus）

摘要

By applying Bai and Perron's [Bai, J., Perran, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78] change-point model, we pinpoint the exact dates for structural breaks in the book-to-market premium. We find that overall the BM premium is better explained by Fama-French's three-factor model.

原文	???core.languages.en_GB???
頁（從 - 到）	31-34
頁數	4
期刊	Economics Letters
卷	100
發行號	1
DOIs	https://doi.org/10.1016/j.econlet.2007.10.025
出版狀態	已出版 - 7月 2008

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10.1016/j.econlet.2007.10.025

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abstract = "By applying Bai and Perron's [Bai, J., Perran, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78] change-point model, we pinpoint the exact dates for structural breaks in the book-to-market premium. We find that overall the BM premium is better explained by Fama-French's three-factor model.",

keywords = "Characteristics model, Factor model, Structural break",

author = "Chou, \{Pin Huang\} and Ko, \{Kuan Cheng\}",

note = "Funding Information: We are grateful to Guofu Zhou and an anonymous referee for their helpful comments. Chou acknowledges financial support from the National Science Council of Taiwan (grant number 95-2416-H-008-015-MY3).",

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AU - Ko, Kuan Cheng

N1 - Funding Information: We are grateful to Guofu Zhou and an anonymous referee for their helpful comments. Chou acknowledges financial support from the National Science Council of Taiwan (grant number 95-2416-H-008-015-MY3).

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N2 - By applying Bai and Perron's [Bai, J., Perran, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78] change-point model, we pinpoint the exact dates for structural breaks in the book-to-market premium. We find that overall the BM premium is better explained by Fama-French's three-factor model.

AB - By applying Bai and Perron's [Bai, J., Perran, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78] change-point model, we pinpoint the exact dates for structural breaks in the book-to-market premium. We find that overall the BM premium is better explained by Fama-French's three-factor model.

KW - Characteristics model

KW - Factor model

KW - Structural break

UR - https://www.scopus.com/pages/publications/43949131095

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DO - 10.1016/j.econlet.2007.10.025

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AN - SCOPUS:43949131095

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VL - 100

SP - 31

EP - 34

JO - Economics Letters

JF - Economics Letters

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ER -

Characteristics, covariances, and structural breaks

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