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BULLS, BEARS AND STRESS BETAS |
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| รหัสดีโอไอ | |
| Creator | Robert J. Bianchi |
| Title | BULLS, BEARS AND STRESS BETAS |
| Contributor | Michael E. Drew, Scott N. Pappas, Rene Tetteroo |
| Publisher | University of the Thai Chamber of Commerce |
| Publication Year | 2556 |
| Journal Title | UTCC International Journal of Business and Economics |
| Journal Vol. | 5 |
| Journal No. | 2 |
| Page no. | 87-95 |
| Keyword | bull markets, bear markets, stress betas |
| URL Website | http://ijbejournal.com/ |
| Website title | ijbejournal |
| ISSN | 1906-5582 (paper) |
| Abstract | Diversified portfolios, those that invest beyond stock and bonds, may exhibit stress-betas. That is, they can experience periodic increases in beta, making them more sensitive to equity market moves. We find that stress-betas are not just a bear market phenomenon. Diversified portfolios have experienced increased betas during bull and bear markets. At a portfolio level, increasesincorrelationandthe ratioof portfolio volatility to market volatility cause stress-betas. |
