A Shifting Regimes Approach to the Stationarity of the Market Model Parameters of Individual Securities
研究将资产定价模型中的参数不稳定性建模为一系列持久稳定体制的可行性，发现体制转换普遍、频繁且幅度大，需同时修正alpha和beta参数。
Recent studies indicate that the widespread assumption of parameter stationarity in empir? ical applications of asset pricing models may be inappropriate. This paper investigates the feasibility of modeling parameter instability as a sequence of persistent stable regimes. Reeursive residual and log likelihood techniques are combined to detect and locate shift points. The results indicate that regime shifts are widespread, frequent, and often large enough to significantly effect empirical findings. The nature of the shifts appears to be a rotation of the regression line, indicating that correction of both alpha and beta parameters is required.