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Chong, James; Jennings, William P.; Phillips, G. Michael – American Journal of Business Education, 2018
When a portfolio is not actively managed to maintain a fixed investment percentage in each asset but rather maintains a fixed number of shares for each asset, the portfolio weights will change over time because the market returns of the different assets will not be the same. Consequently, portfolio betas computed as a linear combination of asset…
Descriptors: Business Administration Education, Marketing, Investment, Business Skills
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Chong, James; Halcoussis, Dennis; Phillips, G. Michael – American Journal of Business Education, 2012
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…
Descriptors: Business Administration Education, Models, Risk, Regression (Statistics)