Estimation of Capital Asset Pricing Model at Different Time Scales Application to French Stock Market

Najet Rhaiem; Saloua Ben Ammou; Anouar Ben Mabrouk

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Estimation of Capital Asset Pricing Model at Different Time Scales Application to French Stock Market

机译：不同时间尺度的资本资产定价模型的估计在法国股票市场中的应用

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In this research focus is on the estimation of the Capital Asset Pricing Model (CAPM) at different time scales for French?s stock market. The proposed methods makes possible to quantify the correlation between the return of a stock and its beta at differe

机译：在这项研究中，重点是对法国股票市场在不同时间尺度上的资本资产定价模型（CAPM）的估计。所提出的方法使量化股票收益和不同时期的贝塔系数之间的相关性成为可能。

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《The International Journal of Applied Economics and Finance》 |2007年第2期|共9页
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Najet Rhaiem; Saloua Ben Ammou; Anouar Ben Mabrouk;
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机译：金融发展和货币政策的分配效应货币政策的分配后果是否取决于金融发展的程度？各国的最优货币政策应该不同吗？为了回答这些问题，我们开发了一个具有异构代理的货币增长生产模型。在我们的经济中，最优政策需要权衡两个群体的政策效应 - 资本所有者和持有流动资产的个人。虽然银行帮助限制通胀风险，但存在限制，因为资金减轻了私人信息的摩擦和有限的沟通。在这种环境下，我们比较两个经济体在各个方面都是相同的，除了它们的金融发展水平。在金融发展有限的国家，缺乏股票市场。另一方面，股票市场活跃。在任一经济体中，通胀都会对资本形成和产出产生不利影响持有流动资产的个人总是受到通货膨胀的不利影响，但资本所有者的态度取决于金融发展的水平。特别是，在股票市场存在的情况下，通货膨胀对资本所有者福利的影响是非单调的。尽管如此，在较高的金融发展水平下，最优货币政策总是更加保守。

Estimation of Capital Asset Pricing Model at Different Time Scales Application to French Stock Market

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