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ERIC Number: EJ1056339
Record Type: Journal
Publication Date: 2012
Pages: 6
Abstractor: As Provided
Reference Count: 6
ISBN: N/A
ISSN: ISSN-1942-2504
Misleading Betas: An Educational Example
Chong, James; Halcoussis, Dennis; Phillips, G. Michael
American Journal of Business Education, v5 n5 p617-622 2012
The dual-beta model is a generalization of the CAPM model. In the dual-beta model, separate beta estimates are provided for up-market and down-market days. This paper uses the historical "Anscombe quartet" results which illustrated how very different datasets can produce the same regression coefficients to motivate a discussion of the dual-beta model. Using data from 39 mutual funds, it is shown how very different dual-beta models can lead to the same CAPM beta estimates, much like the Anscombe quartet scenarios.
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Publication Type: Journal Articles; Reports - Evaluative
Education Level: Higher Education; Postsecondary Education
Audience: N/A
Language: English
Sponsor: N/A
Authoring Institution: N/A