    903

   ,     .      b -
     .

)                           ) 

    

. 25.8.     

25.4.2      

      
,   ,     . 25.8(6). -
,       ,  -
 (..  . > , ),     (up markets). , 
     ,   (.. 
. < /.),     (down markets).    
            .
       -
   ( )  ,   -
       
( ).

        -
    ,        
   (dummy variable regression equation):

''pi -rf,=a+ (, -  ft ) + [0,(, - r ft)] + ?p,.               (25.26)

 ,   , a D   ,  -
,  ,     t,  ^ <   , 
 ,      t.  ^ > , .  
     (25.26)      .
 ;',,  .               

Ml     jt

>                        ^ - ,, = 3 + ^, - ^> + ^

=0                        ^ - ,, =  + ^
< 0                        ^ - ^, =  + (b - )(^ - r) + ^,