Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter
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- 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.
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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
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