期刊名称：Annals of the University of Petrosani : Economics
印刷版ISSN：1582-5949
电子版ISSN：2247-8620
出版年度：2009
卷号：IX
期号：04
页码：257-262
出版社：University of Petrosani
摘要：The CAPM - beta is one of the most used tools to estimate thesystematic risks associated to stock. In the last decades different behaviours of beta wererevealed for the circumstances of the bull and the bear markets. This paper analyses the CAPM– beta responses for bad and good news for ten representative stocks from the Bucharest StockExchange. We identify the bull, the bear and the tranquil markets using a univariate kernaldensity function and we calculate for each stage the single and the multifactor CAPM betas.We conclude that for most of the stocks CAPM betas are the largest in the bear conditions andthey are the least in the bull markets conditions.
