A Multivariate Test of a Dual-Beta CAPM: Australian Evidence

Robert Faff

The Financial Review, 2001, vol. 36, issue 4, 157-74

Abstract: I apply a multivariate one-step testing procedure to investigate a dual-beta CAPM. I begin by establishing that there is no statistical relation between beta and returns for the standard CAPM. I then re-cast the one-step test to accommodate a dual-beta CAPM under bull and bear market conditions. When the excess market return is negative (positive), I find strong evidence of a negative (positive) relation between beta and returns. The strength of my results suggests that the success of the model is not crucially dependent on the argument for beta instability. Copyright 2001 by MIT Press.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:36:y:2001:i:4:p:157-74

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