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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

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Date

2009

Authors

Woodward, George
Anderson, Heather

Journal Title

Journal ISSN

Volume Title

Publisher

Institute of Physics Publishing

Abstract

The authors use a logistic smooth transition market (LSTM) model to investigate whether ‘bull’ and ‘bear’ market betas for Australian industry portfolios returns differ. The LSTM model allows the data to determine a threshold parameter that differ

Description

Keywords

Keywords: Bull and bear betas; Dual-beta market (DBM); Linearity tests; Logistic smooth transition market (LSTM) models; Models; Sequential conditional least squares (SCLS)

Citation

URI

http://hdl.handle.net/1885/17129

Collections

ANU Research Publications

Source

Quantitative Finance

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1080/14697680802595643

Restricted until

2037-12-31

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Description
01_Woodward_Does_beta_react_to_market_2009.pdf (432.6 KB)

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