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

11 Pages Posted: 4 Apr 2015

See all articles by Jack Clark Francis

Jack Clark Francis

Zicklin School of Business, Baruch College

Frank J. Fabozzi

EDHEC Business School

Date Written: June 28, 1979

Abstract

The purpose of this paper is to assess the stability of the single index market model. Binary variables are attached to the alphas and betas to measure their tendency to change as the business cycle proceeds. Significant instability is reported.

Keywords: Single index market model, alpha, beta, bull market, bear market

Suggested Citation

Francis, Jack Clark and Fabozzi, Frank J., The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model (June 28, 1979). Journal of Financial and Quantitative Analysis (JFQA), Vol. XIV, No. 2, June 1979, Available at SSRN: https://ssrn.com/abstract=2586582

Jack Clark Francis (Contact Author)

Zicklin School of Business, Baruch College ( email )

One Bernard Baruch Way
New York, NY 10010
United States
646-312-3462 (Phone)

Frank J. Fabozzi

EDHEC Business School ( email )

France
215 598-8924 (Phone)

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