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

Citations

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Cited by:

  1. Richard Copp & Michael L. Kremmer & Eduardo Roca, 2010. "Should funds invest in socially responsible investments during downturns?," Accounting Research Journal, Emerald Group Publishing Limited, vol. 23(3), pages 254-266, November.
  2. José 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.
  3. Graham McIntosh, 2016. "Socially Responsible Investment and Market Performance: The Case of Energy and Resource Firms," Cambridge Working Papers in Economics 1609, Faculty of Economics, University of Cambridge.
  4. 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.
  5. Bilbao, A. & Arenas, M. & Rodriguez, M.V. & Antomil, J., 2007. "On constructing expert Betas for single-index model," European Journal of Operational Research, Elsevier, vol. 183(2), pages 827-847, December.
  6. 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.
  7. MeiChi Huang, 2025. "Revisiting housing asset pricing: uncertainty and business-cycle factors in US state-level housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 74(1), pages 1-25, March.
  8. Dębski Wiesław & Feder-Sempach Ewa, 2012. "Beta Coefficients of Polish Blue Chip Companies in the Period Of 2005–2011," Folia Oeconomica Stetinensia, Sciendo, vol. 12(2), pages 90-102, December.
  9. Messis, Petros & Alexandridis, Antonios K. & Zapranis, Achilleas, 2025. "A qualitative parameter for beta changes," International Review of Economics & Finance, Elsevier, vol. 103(C).
  10. Jordan Mann & J. Nathan Kutz, 2016. "Dynamic mode decomposition for financial trading strategies," Quantitative Finance, Taylor & Francis Journals, vol. 16(11), pages 1643-1655, November.
  11. 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.
  12. 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.
  13. 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.
  14. Janusz Brzeszczynski, Binam Ghimire, Tooraj Jamasb, and Graham McIntosh, 2019. "Socially Responsible Investment and Market Performance: The Case of Energy and Resource Companies," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
  15. Bo Yu & Bruce Mizrach & Norman R. Swanson, 2020. "New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section," Econometrics, MDPI, vol. 8(2), pages 1-52, May.
  16. Fredj Jawadi & Wael Louhichi & Abdoulkarim Idi Cheffou & Hachmi Ben Ameur, 2019. "Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model," Annals of Operations Research, Springer, vol. 281(1), pages 275-295, October.
  17. MeiChi Huang, 2022. "Time‐varying roles of housing risk factors in state‐level housing markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4660-4683, October.
  18. MeiChi Huang, 2021. "Regime switches and permanent changes in impacts of housing risk factors on MSA‐level housing returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 310-342, January.
  19. Robert Durand & Marta Simon & Alex Szimayer, 2009. "Anger, sadness and bear markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(5), pages 357-369.
  20. Kokoszka Piotr & Miao Hong & Zheng Ben, 2017. "Testing for asymmetry in betas of cumulative returns: Impact of the financial crisis and crude oil price," Statistics & Risk Modeling, De Gruyter, vol. 34(1-2), pages 33-53, June.
  21. Petros Messis & Achilleas Zapranis, 2014. "Asset pricing with time-varying betas for stocks traded on S&P 500," Applied Economics, Taylor & Francis Journals, vol. 46(36), pages 4508-4518, December.
  22. Christoph Wegener & Tobias Basse, 2019. "The Stability of Factor Sensitivities of German Stock Market Sector Indices: Empirical Evidence and Some Thoughts about Practical Implications," JRFM, MDPI, vol. 12(3), pages 1-10, August.
  23. Hisham Al Refai & Gazi Mainul Hassan, 2018. "The Impact of Market-wide Volatility on Time-varying Risk: Evidence from Qatar Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 239-258, August.
  24. Monika Mościbrodzka, 2021. "Alternative investment funds – the evaluation of managers’ abilities in the light of the amendments to the Act on Investment Fund," Bank i Kredyt, Narodowy Bank Polski, vol. 52(6), pages 517-544.
  25. Petros Messis & Antonis Alexandridis & Achilleas Zapranis, 2021. "Testing and comparing conditional risk‐return relationship with a new approach in the cross‐sectional framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 218-240, January.
  26. Prabhdeep Kaur & Jaspal Singh & Sidharath Seth, 2021. "Investigating the Dynamics of Exchange Traded Funds Across the Bear and Bull Markets: Evidence from Indian Equity ETFs," Vision, , vol. 25(3), pages 350-360, September.
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