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Quantitative Finance Volume 9, 2009 - Issue 8
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Research Papers

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

George Woodward University of Colorado, Colorado Springs, CO 80918, USA
&
Heather M. Anderson Australian National University, Canberra, ACT, 0200 AustraliaCorrespondence[email protected].
Pages 913-924 | Received 21 Jan 2007, Accepted 17 Oct 2008, Published online: 25 Mar 2009

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Petros Messis, Antonis Alexandridis & Achilleas Zapranis. (2023) The Effects of Herding on Betas and Idiosyncratic Risk. Journal of Behavioral Finance 24:2, pages 131-146.
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Jalaj Pathak & Soumya G. Deb. (2020) Stylized patterns in implied volatility indices and stock market returns: A cross country analysis across developed and emerging markets. Cogent Economics & Finance 8:1.
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Prabhdeep Kaur & Jaspal Singh. (2018) Testing the Tracking Efficiency of Commodity Exchange Traded Funds (ETFs) across the Bearish and Bullish Market Regimes: Evidence from Indian Gold ETFs. Journal of Asia-Pacific Business 19:3, pages 182-202.
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Jordan Mann & J. Nathan Kutz. (2016) Dynamic mode decomposition for financial trading strategies. Quantitative Finance 16:11, pages 1643-1655.
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Petros Messis & Achilleas Zapranis. (2014) Asset pricing with time-varying betas for stocks traded on S&P 500. Applied Economics 46:36, pages 4508-4518.
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Minh Phuong Doan, Chien-Ting Lin & Michael Chng. (2014) Higher moments and beta asymmetry: evidence from Australia. Accounting & Finance 54:3, pages 779-807.
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A. Bilbao, M. Arenas, M.V. Rodríguez & J. Antomil. (2007) On constructing expert Betas for single-index model. European Journal of Operational Research 183:2, pages 827-847.
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Peter Fiechter & Jie Zhou. (2012) The Impact of the Greek Sovereign Debt Crisis on European Banks’ Disclosure and its Economic Consequences. SSRN Electronic Journal.
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Dr. Rengasamy Elango & Dr. Dayanand Pandey. (2009) Market Beta (β) and Stock Returns - An Analysis of Select Gulf Companies. SSRN Electronic Journal.
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