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

George Woodward, Heather Anderson

Research output: Contribution to journalArticleResearchpeer-review

25 Citations (Scopus)
Original languageEnglish
Pages (from-to)913 - 924
Number of pages12
JournalQuantitative Finance
Volume9
Issue number8
DOIs
Publication statusPublished - 2009
Externally publishedYes

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