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

Robert Faff

doi:10.1111/j.1540-6288.2001.tb00034.x

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

Robert Faff^*

^*Corresponding author for this work

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

37 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 language	English
Pages (from-to)	157-174
Number of pages	18
Journal	Financial Review
Volume	36
Issue number	4
DOIs	https://doi.org/10.1111/j.1540-6288.2001.tb00034.x
Publication status	Published - Nov 2001
Externally published	Yes

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10.1111/j.1540-6288.2001.tb00034.x

Cite this

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

Abstract

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