Beta Measures Market Risk Except When It Doesn’t:
               Regime-Switching Alpha and Errors in Beta

James Chong; G. Michael Phillips

doi:10.3905/jwm.2011.14.3.067

Beta Measures Market Risk Except When It Doesn’t:
Regime-Switching Alpha and Errors in Beta

James Chong and G. Michael Phillips

The Journal of Wealth Management Winter 2011, 14 (3) 67-72; DOI: https://doi.org/10.3905/jwm.2011.14.3.067

James Chong

is an associate professor at California State University, Northridge, and a research economist at MacroRisk Analytics in Pasadena, CA.

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For correspondence: jchong@macrorisk.com

G. Michael Phillips

is a professor at California State University, Northridge, and the chief scientist at MacroRisk Analytics in Pasadena, CA.

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For correspondence: mphillips@macrorisk.com

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Beta Measures Market Risk Except When It Doesn’t:
Regime-Switching Alpha and Errors in Beta

James Chong, G. Michael Phillips

The Journal of Wealth Management Oct 2011, 14 (3) 67-72; DOI: 10.3905/jwm.2011.14.3.067

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Beta Measures Market Risk Except When It Doesn’t:
Regime-Switching Alpha and Errors in Beta

James Chong, G. Michael Phillips

The Journal of Wealth Management Oct 2011, 14 (3) 67-72; DOI: 10.3905/jwm.2011.14.3.067

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Regime-Switching Alpha and Errors in Beta

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Beta Measures Market Risk Except When It Doesn’t:
Regime-Switching Alpha and Errors in Beta