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Keywords: Dual-beta model
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Journal Articles
A trading strategy with dual-beta estimates
Available to Purchase
Journal:
Managerial Finance
Managerial Finance (2022) 48 (5): 720–732.
Published: 21 February 2022
...James Chong Purpose The purpose of this paper is to adopt a trading strategy using upside and downside beta estimates. Design/methodology/approach With daily data from April 30, 1997 to April 30, 2021, the author utilizes the dual-beta model when estimating upside and downside betas...
