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- W3123247029 abstract "In this paper, we relate security returns in the thirty securities in the Dow Jones index to regime shifts in the market portfolio (S&P500) volatility. We model market volatility as a multiple-state Markov switching process of order one and estimate non-diversifiable security risk (beta) in the different market volatility regimes. We test the significance of the premium of the beta risk associated with the different market regimes and find evidence of a relationship between security return and beta risk when conditional on the up and down market movement." @default.
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- W3123247029 date "2004-06-23" @default.
- W3123247029 modified "2023-09-27" @default.
- W3123247029 title "Beta Risk and Regime Shift in Market Volatility" @default.
- W3123247029 hasPublicationYear "2004" @default.
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