An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 17 (1982)
Issue (Month): 02 (June)
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- Lunde A. & Timmermann A., 2004.
"Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets,"
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American Statistical Association, vol. 22, pages 253-273, July.
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"Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities,"
- Don U.A. Galagedera & Roland Shami, 2003. "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Monash Econometrics and Business Statistics Working Papers 20/03, Monash University, Department of Econometrics and Business Statistics.
- Hwang, Soosung & Pedersen, Christian S., 2004. "Asymmetric risk measures when modelling emerging markets equities: evidence for regional and timing effects," Emerging Markets Review, Elsevier, vol. 5(1), pages 109-128, March.
- Safari, Meysam & TahmooresPour, Reza, 2011. "Moderation Effect of Market Condition on the Relationship between Dividend Yield and Stock Return," MPRA Paper 28913, University Library of Munich, Germany.
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