DUAL BETAS ON THE

Since the study by Fama & French (1992) there has been an academic debate aboutthe usefulness of the Capital Asset Pricing Model (CAPM). Some researchersbelieve that the CAPM should be abandoned for a new model, like the dual betamodel, which provides a better explanation of share returns than the traditionalCAPM.The purpose of this research is to identify whether beta and the market-effects (i.e.the size, value and momentum effects) can explain share returns under differentstock market conditions. If this proves to be the case, the findings could be used asa foundation towards the creation of a trading strategy for investors effectively toexploit these market-effects.This research shows that there is a significant non-symmetrical relationship betweendual beta and realised returns. However, in the presence of the size and valueterms, the dual beta relationship with realised returns becomes insignificant. It wasalso found that the size, value and momentum effects were present only in certainbull and bear market conditions