Journal of Financial and Quantitative Analysis Vol. 14 No. 2 1979
The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model
open access
Abstract
Since Markowitz [15, pp. 98–101] and Sharpe [19] developed the single-index market model (SIMM hereafter) it has received considerable research attention. Empirical tests have established the model's econometric significance [3, 12, 13] in partial equilibrim analysis. However, research into the relationship between the SIMM and its macroeconomic environment has been meager. It has been shown that the market factor changes intertemporally [13, 16, 18, 20]. However, whether these changes in the market factor and, more basically, changes in the macroeconomic situation affect the SIMM is unknown.
- DOI
- 10.2307/2330508
- Volume
- 14
- Issue
- 2
- Pages
- 351
- Sources
- crossref openalex