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

doi:10.1080/14697680802595643

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

Research output: Contribution to journal › Article › Research › peer-review

Original language	English
Pages (from-to)	913 - 924
Number of pages	12
Journal	Quantitative Finance
Volume	9
Issue number	8
DOIs	https://doi.org/10.1080/14697680802595643
Publication status	Published - 2009
Externally published	Yes

Access to Document

10.1080/14697680802595643

Cite this

@article{b25779d0886a4c92b03a67130b687e58,

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

author = "George Woodward and Heather Anderson",

year = "2009",

doi = "10.1080/14697680802595643",

language = "English",

volume = "9",

pages = "913 -- 924",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Routledge",

number = "8",

}

TY - JOUR

T1 - Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter

AU - Woodward, George

AU - Anderson, Heather

PY - 2009

Y1 - 2009

U2 - 10.1080/14697680802595643

DO - 10.1080/14697680802595643

M3 - Article

VL - 9

SP - 913

EP - 924

JO - Quantitative Finance

JF - Quantitative Finance

SN - 1469-7688

IS - 8

ER -