A multivariate test of a dual-beta CAPM: Australian evidence

Robert Faff*

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

30 Citations (Scopus)

Abstract

I apply a multivariate one-step testing procedure to investigate a dual-beta CAPM. I begin by establishing that there is no statistical relation between beta and returns for the standard CAPM. I then re-cast the one-step test to accommodate a dual-beta CAPM under bull and bear market conditions. When the excess market return is negative (positive), I find strong evidence of a negative (positive) relation between beta and returns. The strength of my results suggests that the success of the model is not crucially dependent on the argument for beta instability.

Original languageEnglish
Pages (from-to)157-174
Number of pages18
JournalFinancial Review
Volume36
Issue number4
DOIs
Publication statusPublished - Nov 2001
Externally publishedYes

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