01071nas a2200145   4500008004100000245004500041210004500086260000900131300001200140490000700152520065200159653001200811100001700823856008500840       2013                        eng d00aFinancial turbulence and Beta estimation0 aFinancial turbulence and Beta estimation  c2013  a251-2630 v233 aI use Mahalanobis distance based on investment opportunity variables to define turbulent periods within financial markets. The distance measure identifies periods of event-driven stress, and not necessarily low returns. CAPM betas estimated from normal sample periods explain vary little variation in cross-sectional returns. However, betas estimated from turbulent subperiods explain a large proportion of full-sample returns. Market betas for small and value portfolios increase during turbulent periods, indicating that the risk of these portfolios is greater than indicated by standard betas, and suggesting an explanation for these anomalies.10aFinance1 aBerger, Dave  uhttps://business.oregonstate.edu/biblio/financial-turbulence-and-beta-estimation