与我们的经验发现相一致，比起真实情况，图中的观测值斜率偏小，截距偏大，非系统风险 偏大。 表2动态选择MCMC与无选择MCMC,OLS,GLS对比 True OLS GLS MCMC MCMC (no selection)(w/selection) Valuation Equation Intercept 0.0 -0.0038 0.0077 0.0077 0.0001 (0.0001) (0.0001) (0.0001) (0.0001) RMRF 3.0 1.1926 2.3578 2.3585 3.0100 (0.0122) (0.0123) (0.0124) (0.0118) Sigma 0.1 0.1468 0.0875 0.0864 0.0118 (0.0003) (0.0002) (0.0002) (0.0003) Selection Equation Return 10.0 10.6303 (0.0484) Time 0.1 0.1078 (0.0011) Time- 0.0 0.0000 Squared (0.0000) Constant -1.0 -1.0241 (0.0052) V()/V(O) 0 1 2 time 图3几何布朗运动模型与漂移项与我们的经验发现相一致，比起真实情况，图中的观测值斜率偏小，截距偏大，非系统风险 偏大。 表 2 动态选择 MCMC 与无选择 MCMC，OLS,GLS 对比 True OLS GLS MCMC (no selection) MCMC (w/selection) Valuation Equation Intercept 0.0 -0.0038 (0.0001) 0.0077 (0.0001) 0.0077 (0.0001) 0.0001 (0.0001) RMRF 3.0 1.1926 (0.0122) 2.3578 (0.0123) 2.3585 (0.0124) 3.0100 (0.0118) Sigma 0.1 0.1468 (0.0003) 0.0875 (0.0002) 0.0864 (0.0002) 0.0118 (0.0003) Selection Equation Return 10.0 10.6303 (0.0484) Time 0.1 0.1078 (0.0011) Time￾Squared 0.0 0.0000 (0.0000) Constant -1.0 -1.0241 (0.0052) 图 3 几何布朗运动模型与漂移项