Misleading Betas: An Educational Example

Misleading Betas: An Educational Example

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 regressio...

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Veröffentlicht in:American journal of business education 2012-09, Vol.5 (5), p.617-622
Hauptverfasser: Chong, James, Halcoussis, Dennis, Phillips, G. Michael
Format: Artikel
Sprache:eng
Schlagworte:
Business Administration Education
Business education
Capital assets
CAPM
Computation
Data
Data analysis
Datasets
Discussion (Teaching Technique)
Econometrics
Estimates
Institutional investments
Mutual funds
Periodicals
Regression (Statistics)
Risk
Securities analysis
State Schools
State Universities
Stock exchanges
Studies
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Beschreibung
Zusammenfassung: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. [PUBLICATION ABSTRACT]
ISSN:1942-2504
1942-2512
DOI:10.19030/ajbe.v5i5.7219