Study In The Intertemporal Time-Varying Beta

Just as the general equilibrium theory in economics, capital asset pricing theory is a top crown that attracts countless pursuers in finance. The Capital Asset Pricing Model (CAPM) was initially presented by Sharpe (1964), Lintner (1965), Mossin (1966) and Black (1972) separately, which described the risk-return relationship of an asset by a simple model in financial field. It represented the most important progress and revolution in the theory of finance and laid the foundation for modern financial theory. The most outstanding contribution of CAPM is the detection of beta. The Sharpe-Lintner CAPM was of the single-period form, it had no concrete requirement regarding the intertemporal feature of beta itself. A great deal of both domestic and international research has proven the unstability of beta, but it focused on the result of empirical test and the improvement of the estimation method of beta rather than the theoretical derivation of the existence of the time-varying feature of intertemporal beta. What's more, it attributed the reason for the time-varying feature of beta to the changing of macroeconomic variables and micro factors of companies.This paper mainly studies the time-varying feature of intertemporal beta both theoretically and empirically.On one hand, the theoretical study begins with the hypothesis of classical CAPM. Based on the homogenous expections of investors' and no- arbitrage analysis, it finds out a conclusion which is incompatible with the hypothesis of CAPM in case of the intertemporal condition, therefore theoretically proves the existence of the intertemporal time-varying beta. Then on the basis of the existence test of the...