IDEAS home Printed from https://ideas.repec.org/p/ess/wpaper/id1414.html
   My bibliography  Save this paper

Testing the Stability of Beta Over Market Phases: An empirical study

Author

Listed:
  • Sromon Das

Abstract

The capital asset pricing model (CAPM) is the standard risk-return model used by most academicians and practitioners. The underlying concept of CAPM is that investors are rewarded for only that portion of risk which is not diversifiable. This non-diversifiable variance is termed as beta, to which expected returns are linked. The objective of the paper is to test the stability of betas of individual stocks over a predetermined period of time using two econometric tests. The author has used data pertaining to 39 stocks listed on the NSE Nifty, for a period of 104 months (February 1999 to September 2007), and sub-divided the sample period into 3 sub-periods, two bullish and one bearish. The author found that under one method (regression using time as a variable), 85% of the stocks had a stable beta, while using the second method (regression using dummy variables), 65% of the stocks had stable betas. The reader should note that the results are subject to the sample period chosen and the basis on which the sample period is classified.

Suggested Citation

  • Sromon Das, 2008. "Testing the Stability of Beta Over Market Phases: An empirical study," Working Papers id:1414, eSocialSciences.
    • Handle: RePEc:ess:wpaper:id:1414
    as

    Download full text from publisher

    File URL: http://www.eSocialSciences.com/data/articles/Document12652632008190.2773401.pdf
    Download Restriction: no
    ---><---

    Corrections

    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:ess:wpaper:id:1414. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Padma Prakash (email available below). General contact details of provider: http://www.esocialsciences.org .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.