A Euro area stock market model with betas dependent on the financial markets cycle
by José Soares Da Fonseca
International Journal of Monetary Economics and Finance (IJMEF), Vol. 6, No. 4, 2013

Abstract: This paper estimates market models for the Euro area stock markets of France, Germany, Holland, Italy and Spain, with beta parameters dependent on the financial cycle phases. These models support the calculation of time-varying Treynor ratios, which compare the performance of these domestic markets across different phases of the financial cycle in the Euro area stock markets.

Online publication date: Fri, 21-Mar-2014

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