The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model

The purpose of this paper is to assess the stability of the single index market model. Binary variables are attached to the alphas and betas to measure their tendency to change as the business cycle proceeds. Significant instability is reported

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Year of publication:	2019
Authors:	Francis, Jack Clark
Other Persons:	Fabozzi, Frank J. (contributor)
Publisher:	[2019]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Financial and Quantitative Analysis (JFQA), Vol. XIV, No. 2, June 1979 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 28, 1979 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012904375