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Asymmetric Responses of CAPM - Beta to the Bull and Bear Markets on the Bucharest Stock Exchange

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Author Info

  • Răzvan Ştefănescu

    (“Dunărea de Jos” University of Galaţi, Romania)

  • Costel Nistor

    (“Dunărea de Jos” University of Galaţi, Romania)

  • Ramona Dumitriu

    (“Dunărea de Jos” University of Galaţi, Romania)

Abstract

The CAPM - beta is one of the most used tools to estimate the systematic risks associated to stock. In the last decades different behaviours of beta were revealed for the circumstances of the bull and the bear markets. This paper analyses the CAPM – beta responses for bad and good news for ten representative stocks from the Bucharest Stock Exchange. We identify the bull, the bear and the tranquil markets using a univariate kernal density function and we calculate for each stage the single and the multifactor CAPM betas. We conclude that for most of the stocks CAPM betas are the largest in the bear conditions and they are the least in the bull markets conditions.

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Bibliographic Info

Article provided by University of Petrosani, Romania in its journal Annals of the University of Petrosani - Economics.

Volume (Year): 9 (2009)
Issue (Month): 4 ()
Pages: 257-262

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Handle: RePEc:pet:annals:v:9:i:4:y:2009:p:257-262

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Web page: http://www.upet.ro/

Related research

Keywords: CAPM - betas; Bucharest Stock Exchange; Bull and Bear Markets; Systematic Risk; Kernal Estimation;

References

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  1. Fabozzi, Frank J & Francis, Jack Clark, 1977. "Stability Tests for Alphas and Betas over Bull and Bear Market Conditions," Journal of Finance, American Finance Association, vol. 32(4), pages 1093-99, September.
  2. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46.
  3. Braun, Phillip A & Nelson, Daniel B & Sunier, Alain M, 1995. " Good News, Bad News, Volatility, and Betas," Journal of Finance, American Finance Association, vol. 50(5), pages 1575-1603, December.
  4. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
  5. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-55, July.
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Cited by:
  1. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2010. "Systematic risks for the financial and for the non-financial Romanian companies," MPRA Paper 41636, University Library of Munich, Germany, revised 28 Feb 2010.

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