Journal of Financial and Quantitative Analysis Vol. 14 No. 5 1979
An Analysis of Risk in Bull and Bear Markets
Abstract
In a recent article Fabozzi and Francis [3] presented the results of empirical tests designed to determine if the regression coefficients of the single-index market model were significantly different in bull and bear markets. Using three alternative definitions of bull and bear markets, Fabozzi and Francis (FF) concluded the coefficients of the single-index market model were not significantly different in the two types of markets.
- DOI
- 10.2307/2330303
- Volume
- 14
- Issue
- 5
- Pages
- 1015
- Sources
- openalex crossref