The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model

Jack Clark Francis and Frank Fabozzi ()

Journal of Financial and Quantitative Analysis, 1979, vol. 14, issue 2, 351-360

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.

Date: 1979
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