Work

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

Year: 2009

Type: article

Source: Quantitative Finance

DOI: 10.1080/14697680802595643

Authors: George Woodward, Heather M. Anderson

Institutions: University of Colorado Colorado Springs, Australian National University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2011099653

FWCI: 5.636

Cites: 55

Cited by: 58

Related to: 10