Work

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

Year: 1979

Type: article

Abstract: Since Markowitz [15, pp. 98–101] and Sharpe [19] developed the single-index market model (SIMM hereafter) it has received considerable research attention. Empirical tests have established the model's econometric significance [3, 12, 13] in partial equilibrim analysis. However, research into the relationship between the SIMM and its macroeconomic environment has been meager. It has been shown that the market factor changes intertemporally [13, 16, 18, 20]. However, whether these changes in the market factor and, more basically, changes in the macroeconomic situation affect the SIMM is unknown.

Source: Journal of Financial and Quantitative Analysis

DOI: 10.2307/2330508

Authors: Jack Clark Francis, Frank J. Fabozzi

Institutions: Baruch College, Ecole des Hautes Etudes Commerciales du Nord

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1966494235

FWCI: 1.362

Cites: 13

Cited by: 22

Related to: 10