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

Author: Woodward George   Anderson Heather  

Publisher: Routledge Ltd

ISSN: 1469-7688

Source: Quantitative Finance, Vol.9, Iss.8, 2009-12, pp. : 913-924

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Abstract