The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model
11 Pages Posted: 4 Apr 2015
Date Written: June 28, 1979
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
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