SEPTEMBER 1977 STABILITY TESTS FOR ALPHAS AND BETAS OVER BULL AND BEAR MARKET CONDITIONS FRANKJ. FABOZW JACK AND CLARK FRANCIS* 1. INTRODUCTION THISPAPER EMPLOYS standard econometric significance tests to determine whether the regression statistics from a sample of 700 NYSE stocks differ significantly when measured over bull and bear market conditions.' The need for such tests arises from several different sources. Levy suggested calculating separate beta coefficients for bull and bear markets [lo]. Black has developed a two-factor market model which allows for the alpha to shift over time 11, 23. Some investment advisors and large national brokerages have followed the advice of Levy and Black and sell separate alpha and beta statistics for bull and bear markets for aggregate fees (mostly in soft commission dollars) of millions of dollars per year? The specific subject of this inquiry is the single-index market model (SIMM) shown in equation (1). rir= a, birmt+ e,, where r, denotes the capital gain plus cash dividend rate of return for the ith common stock in the tth month; rmf represents the pre-tax capital gain plus cash dividend one-month rate of return calculated from Standard and Poor's 500 Composite (SPSOO) for the tth month,
The Journal of Finance – Wiley
Published: Sep 1, 1977
It’s your single place to instantly
discover and read the research
that matters to you.
Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.
All for just $49/month
Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly
Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.
Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.
Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.
All the latest content is available, no embargo periods.
“Hi guys, I cannot tell you how much I love this resource. Incredible. I really believe you've hit the nail on the head with this site in regards to solving the research-purchase issue.”Daniel C.
“Whoa! It’s like Spotify but for academic articles.”@Phil_Robichaud
“I must say, @deepdyve is a fabulous solution to the independent researcher's problem of #access to #information.”@deepthiw
“My last article couldn't be possible without the platform @deepdyve that makes journal papers cheaper.”@JoseServera