TITLE

AN ANALYSIS OF RISK IN BULL AND BEAR MARKETS

AUTHOR(S)
Kim, Moon K.; Zumwalt, J. Kenton
PUB. DATE
December 1979
SOURCE
Journal of Financial & Quantitative Analysis;Dec79, Vol. 14 Issue 5, p1015
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
This article assesses the risk within the bull and bear market. This article presents research which seeks to extend the market models of Professors F.J. Fabozzi and J.C. Francis to include an analysis of the variation of returns of securities and portfolios in fluctuating markets. This research divides the total variation of the portfolio returns into two parts: the variation when the market is performing well and when it is underperforming. The researchers used a single-index market model to tabulate the returns.
ACCESSION #
4763895

 

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