The Dual-Beta Model: Evidence from the New Zealand Stock Market
نویسنده
چکیده
Fama and French (1992) show conclusively that the relationship between cross-sectional stock return and beta is flat. Following Fama and French’s cross-sectional framework but allowing for up and down market conditions, Pettengill et al.’s (1995) constant-beta model and Howton and Peterson’s (1998) dual-beta model both find that beta is significantly positive (negative) in the up (down) markets. Recently, Tang and Shum (2004), using the time-series regression approach with the constant-beta model, find that the betareturn relationship is significantly positive (negative) in the Singapore up (down) markets.
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