MABIS: Manajemen dan Bisnis
Vol 11, No 2 (2012): SEPTEMBER 2012

TIME VARYING BETA (DUAL BETA): CONDITIONAL MARKET TIMING CAPM

Rachmat Sudarsono (Universitas Padjajaran)
Suad Husnan (Universitas Gadjah Mada)
Eduardus Tandelilin (Universitas Gadjah Mada)
Erni Ekawati (Universitas Kristen Duta WacanaTIME)



Article Info

Publish Date
01 Sep 2012

Abstract

Dual beta became a debate between researchers in finance especially investment and portfolio. This research test CAPM using dual beta predictions in conditional market timing. The research tested unconditional and conditional Beta, that showed linear and positive affect of return toward risk on single and multiperiods. The beta’s slope skewed but with moderate skewness, and there is no zero beta. However if the investors have les diversified portfolio, its show idiosyncratic risk and systematic risk determine the securities pricing model. Conditional beta test, showed positive slope for SML on bullish market, and negative for bearish market. There is also showed a shock to volatility because of leverage effect and or volatility feedback. The responsiveness of positive shock (bullish market) and negative (bearish market) is positive, however the magnitude of SML slope higher for bearish than bullish market. Dual beta remains consistent in explaining positive effect of risk and return. Dual beta able to reduce the idiosyncratic risk on bearish market rather than on bullish market.

Copyrights © 2012






Journal Info

Abbrev

mabis

Publisher

Subject

Economics, Econometrics & Finance Social Sciences

Description

Manajemen & Bisnis (MABIS) is an open access journal with ISSN 1412-3789 and e-ISSN 2477-1783. The editorial board invites authors and experts to publish and share their ideas through scientific and empirical research in the field of Management and Business. The major objective of the publication is ...