Bayesian Diagnostic Checking of the Capital Asset Pricing Model

• 作者: Jun Li Shaun S. Wulff
• 来源期刊: 应用数学与应用物理(英文)
• 学科: 医学
• 关键词: FINANCE MODEL MODEL Expansion Linear Regression NORMALITY OUTLIER Residual
• 年，卷（期）: 2018,（2）
• 页码范围: 321-337
• 页数: 17页
• 分类号: R73

摘要

The capital asset pricing model (CAPM) is a commonly used regression model in finance to model stock returns. Bayesian methods have been developed for the CAPM to account for market fluctuations within the industry. However, a Bayesian model checking procedure is needed to assess the CAPM in terms of the usual regression model assumptions of independence, homogeneity of variance, and normality. This paper develops Bayesian residuals and Bayesian p-values to check these model assumptions as well as to suggest model extensions to the CAPM.