A Multivariate Test of a Dual-Beta CAPM: Australian Evidence.
I apply a multivariate one-step testing procedure to investigate a dual-beta CAPM. I begin by establishing that there is no statistical relation between beta and returns for the standard CAPM. I then re-cast the one-step test to accommodate a dual-beta CAPM under bull and bear market conditions. When the excess market return is negative (positive), I find strong evidence of a negative (positive) relation between beta and returns. The strength of my results suggests that the success of the model is not crucially dependent on the argument for beta instability. Copyright 2001 by MIT Press.
Year of publication: |
2001
|
---|---|
Authors: | Faff, Robert |
Published in: |
The Financial Review. - Eastern Finance Association - EFA. - Vol. 36.2001, 4, p. 157-74
|
Publisher: |
Eastern Finance Association - EFA |
Saved in:
Saved in favorites
Similar items by person
-
Oil, Oil Volatility and Airline Stocks: A Global Analysis
Nandha, Mohan, (2013)
-
Determinants of the extent of Asia-Pacific banks' derivative activities
Yong, Hue Hwa Au, (2014)
-
Di Iorio, Amalia, (2013)
- More ...