Abstract
THIS PAPER EMPLOYS standard econometric significance tests to determine whether the regression statistics from a sample of 700 NYSE stocks differ significantly when measured over bull and bear market conditions.' The need for such tests arises from several different sources. Levy suggested calculating separate beta coefficients for bull and bear markets [10]. Black has developed a two-factor market model which allows for the alpha to shift over time [1, 2]. Some investment advisors and large national brokerages have followed the advice of Levy and Black and sell separate alpha and beta statistics for bull and bear markets for aggregate fees (mostly in soft commission dollars) of millions of dollars per year.2 The specific subject of this inquiry is the single-index market model (SIMM) shown in equation (1).
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