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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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dc.contributor.authorWoodward, George
dc.contributor.authorAnderson, Heather
dc.date.accessioned2015-12-07T22:13:43Z
dc.date.issued2009
dc.date.updated2016-02-24T09:55:38Z
dc.description.abstractThe 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
dc.identifier.issn1469-7688
dc.identifier.urihttp://hdl.handle.net/1885/17129
dc.publisherInstitute of Physics Publishing
dc.sourceQuantitative Finance
dc.subjectKeywords: Bull and bear betas; Dual-beta market (DBM); Linearity tests; Logistic smooth transition market (LSTM) models; Models; Sequential conditional least squares (SCLS)
dc.titleDoes beta react to market conditions? Estimates of "bull" and "bear" betas using a nonlinear market model with an endogenous threshold parameter
dc.typeJournal article
local.bibliographicCitation.issue8
local.bibliographicCitation.lastpage924
local.bibliographicCitation.startpage913
local.contributor.affiliationWoodward, George, University of Colorado
local.contributor.affiliationAnderson, Heather, College of Business and Economics, ANU
local.contributor.authoruidAnderson, Heather, u3426640
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor140202 - Economic Development and Growth
local.identifier.ariespublicationu3426640xPUB1
local.identifier.citationvolume9
local.identifier.doi10.1080/14697680802595643
local.identifier.scopusID2-s2.0-79953165901
local.identifier.thomsonID000273766500003
local.type.statusPublished Version

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