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Does beta react to market conditions? Estimates of ‘bull’ and ‘bear’ betas using a nonlinear market model with an endogenous threshold parameter
Woodward, George, Anderson, Heather M.Volume:
9
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697680802595643
Date:
December, 2009
File:
PDF, 414 KB
english, 2009