Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination
JOURNAL OF FINANCE, 1979 December, XXXIV (5), pages 1243-1250.
9 Pages Posted: 30 Mar 2015 Last revised: 12 Apr 2019
Date Written: December 28, 1979
The single-index market model is estimated with market returns from mutual funds. Binary variables are used to determine if the beta coefficients increase during bull markets. If the mutual fund beta coefficients increase during bull markets, for example, this increase indicates the portfolio manager has superior market timing ability. Mutual fund managers with superior market timing ability were not discovered.
Keywords: Single-index market model, mutual funds, binary variables, bull and bear markets, beta
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