Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- George Woodward & Heather Anderson, 2003. "Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter," Monash Econometrics and Business Statistics Working Papers 9/03, Monash University, Department of Econometrics and Business Statistics.
References listed on IDEAS
- Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 119-136, Suppl. De.
- Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-328, April.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Richard Copp & Michael L. Kremmer & Eduardo Roca, 2010. "Should funds invest in socially responsible investments during downturns?: Financial and legal implications of the fund manager's dilemma," Accounting Research Journal, Emerald Group Publishing, vol. 23(3), pages 254-266, November.
- JosÃ© Soares Da Fonseca, 2016. "Euro area stock markets performance comparison and its dependence on macroeconomic variables," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(3), pages 245-266.
- Janusz Brzeszczyński & Graham McIntosh, 2014.
"Performance of Portfolios Composed of British SRI Stocks,"
Journal of Business Ethics,
Springer, vol. 120(3), pages 335-362, March.
- Janusz Brzeszczynski & Graham McIntosh, 2012. "Performance of Portfolios Composed of British SRI Stocks," CFI Discussion Papers 1201, Centre for Finance and Investment, Heriot Watt University.
- Mohammad, Nazeeruddin & Ashraf, Dawood, 2015.
"The market timing ability and return performance of Islamic equities: An empirical study,"
Pacific-Basin Finance Journal,
Elsevier, vol. 34(C), pages 169-183.
- Mohammad, Nazeeruddin & Ashraf, Dawood, 2015. "The Market Timing Ability and Return Performance of Islamic Equities: an Empirical Study," Working Papers 1436-6, The Islamic Research and Teaching Institute (IRTI).
- 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.
- Robert Durand & Marta Simon & Alex Szimayer, 2009. "Anger, sadness and bear markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(5), pages 357-369.
- repec:bpj:strimo:v:34:y:2017:i:1-2:p:33-53:n:5 is not listed on IDEAS
- Saumitra N. Bhaduri & S. Raja Sethu Durai, 2006. "Asymmetric beta in bull and bear market conditions: evidences from India," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 55-59, January.
- Fiechter, Peter & Zhou, Jie, 2016. "The Impact of the Greek Sovereign Debt Crisis on European Banks' Disclosure and its Economic Consequences," The International Journal of Accounting, Elsevier, vol. 51(1), pages 85-117.
- Huang, MeiChi & Chiang, Hsiu-Hsuan, 2017. "An early alarm system for housing bubbles," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 34-49.
More about this item
KeywordsBull and bear betas; Dual-beta market (DBM); Models; Linearity tests; Logistic smooth transition market (LSTM) models; Sequential conditional least squares (SCLS);
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:9:y:2009:i:8:p:913-924. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RQUF20 .