Misleading Betas: An Educational Example

Main Article Content

James Chong
Dennis Halcoussis
G. Michael Phillips


CAPM, Beta, Dual-Beta, Anscombe


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.


Download data is not yet available.
Abstract 100 | PDF Downloads 201

Most read articles by the same author(s)

1 2 > >>