This article investigates the trade-off between an extension of the standard three-factor
model including a new volatility factor compared to a parsimonious Markov switching model …

The authors study the time-dependent relationship between alternative beta strategies and
the Fama-French factors. It is widely believed that the excess performance of alternative beta …

Alternative beta strategies seeking to extract factor returns beyond directional market beta,
or to exploit apparent market anomalies, have been one of the major new investment trends …

The authors use a logistic smooth transition market (LSTM) model to investigate whether
'bull'and 'bear'market betas for Australian industry portfolios returns differ. The LSTM model …

In this paper, the volatility of the return generating process of the market portfolio and the
slope coefficient of the market model is assumed to follow a Markov switching process of …

This paper proposes a Markov regime-switching asset-pricing model and investigates the
asymmetric risk-return relationship under different regimes for the Chinese stock market. It …

We present a reactive beta model that accounts for the leverage effect and beta elasticity.
For this purpose, we derive a correlation metric for the leverage effect to identify the relation …

It is often desirable to know whether or not a risky asset's beta coefficient has changed and,
if so, at what point in time the change occurred. For example, this knowledge is of obvious …

The present paper conducts an empirical study by examining the Market Model and the
three versions of the 4-State Model (translated, rotated and unrotated) in a mean-beta …

There has been significant evidence on the forecasting ability of Regime switching
regression models. Smart beta or alternative beta indices are gaining wide popularity …