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In a recent article Fabozzi and Francis 3 presented the results of empirical tests designed to determine if the regression coefficients of the single-index market model were significantly different in bull and bear markets. Using three alternative definitions of bull and bear markets, Fabozzi and Francis (FF) concluded the coefficients of the single-index market model were not significantly different in the two types of markets.
Kim et al. (Sat,) studied this question.