An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas
检验牛市和熊市中证券贝塔是否受市场状态影响，并探讨下行风险溢价是否比单一贝塔更能衡量投资组合风险。
Security behavior in bull and bear markets has received some attention in recent years. Fabozzi and Francis [5] first documented evidence that security betas are not influenced by the alternating forces of bull and bear markets. Their subsequent study of mutual fund betas also indicated that mutual funds generally respond indifferently to bull and bear market conditions. Using the concept of bull and bear market variations, Kim and Zumwa1t [9] developed and tested the risk premiums associated with the upside and the downside portions of returns variation. They concluded that investors expect to receive a risk premium for downside risk and pay a premium for upside variation of returns. From their results, Kim and Zumwalt [9] suggested that the down-market beta measuring downside risk (downside variation of returns) may be a more appropriate measure of portfolio risk than the single beta in the market model.