Does beta react to market conditions? Estimates of "bull" and "bear" betas using a nonlinear market model with an endogenous threshold parameter

Woodward, GeorgeAnderson, Heather2015-12-071469-7688http://hdl.handle.net/1885/17129The 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 differKeywords: Bull and bear betas; Dual-beta market (DBM); Linearity tests; Logistic smooth transition market (LSTM) models; Models; Sequential conditional least squares (SCLS)Does beta react to market conditions? Estimates of "bull" and "bear" betas using a nonlinear market model with an endogenous threshold parameter200910.1080/146976808025956432016-02-24