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The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model

Published online by Cambridge University Press:  06 April 2009

Jack Clark Francis  and
Frank J. Fabozzi
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Extract

Since Markowitz [15, pp. 98–101] and Sharpe [19] developed the single-index market model (SIMM hereafter) it has received considerable research attention. Empirical tests have established the model's econometric significance [3, 12, 13] in partial equilibrim analysis. However, research into the relationship between the SIMM and its macroeconomic environment has been meager. It has been shown that the market factor changes intertemporally [13, 16, 18, 20]. However, whether these changes in the market factor and, more basically, changes in the macroeconomic situation affect the SIMM is unknown.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 2 , June 1979 , pp. 351 - 360
Copyright
Copyright © School of Business Administration, University of Washington 1979

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References

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