文章基本信息

标题：Misleading Betas: An Educational Example
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作者：James Chong ; Dennis Halcoussis ; G. Michael Phillips 等
期刊名称：American Journal of Business Education
电子版ISSN：1942-2512
出版年度：2012
卷号：5
期号：05
页码：617-622
出版社：Clute Institute for Academic Research
摘要：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.