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An Analysis of Risk in Bull and Bear Markets

Published online by Cambridge University Press:  06 April 2009

Moon K. Kim  and
J. Kenton Zumwalt
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Extract

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.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 5 , December 1979 , pp. 1015 - 1025
Copyright
Copyright © School of Business Administration, University of Washington 1979

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References

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