Submitted by Joshua spierts (spierts_joshua@msn.com) on 2018-02-05T13:06:36Z No. of bitstreams: 1 ThesisFinalDraftFGV.pdf: 377288 bytes, checksum: 63f6a61517939667b90055195c227c37 (MD5) / Rejected by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br), reason: Dear Hubertus, Please, correct just 2 things in your thesis: Page 2: Please, put the full name of your adviser; Page 5: The text of resumo needs to be justify, it is untidy on 2018-02-05T18:56:26Z (GMT) / Submitted by Joshua spierts (spierts_joshua@msn.com) on 2018-02-06T12:09:03Z No. of bitstreams: 1 ThesisFinalDraftFGV.pdf: 377628 bytes, checksum: e0b66926412c6787392f57e3b5d60e44 (MD5) / Rejected by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br), reason: Joshua, I will send an email. on 2018-02-06T12:23:03Z (GMT) / Submitted by Joshua spierts (spierts_joshua@msn.com) on 2018-02-06T12:27:01Z No. of bitstreams: 1 ThesisFinalDraftFGV.pdf: 378305 bytes, checksum: c0cad61d2c11c1f94697ddaf8dd37791 (MD5) / Approved for entry into archive by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br) on 2018-02-06T12:29:21Z (GMT) No. of bitstreams: 1 ThesisFinalDraftFGV.pdf: 378305 bytes, checksum: c0cad61d2c11c1f94697ddaf8dd37791 (MD5) / Made available in DSpace on 2018-02-06T12:33:54Z (GMT). No. of bitstreams: 1 ThesisFinalDraftFGV.pdf: 378305 bytes, checksum: c0cad61d2c11c1f94697ddaf8dd37791 (MD5) Previous issue date: 2018-01-16 / This paper will follow Pettengill et al.’s (1995) approach to examine the unconditional and conditional relationship between beta and returns from January 1995 to May 2017 in a well globally diversified sample of 22 emerging markets and 23 developed markets. Additionally, Pettengill et al.’s (1995) methodology is adjusted to take into account 1-year time-varying beta values to supplement and check the robustness of the initial results. The empirical results for the full sample as well as both sub-samples indicate that there is no significant unconditional relationship between beta and returns, however, when differentiating between up- and down-markets a significant conditional relationship is found. This paper adds to the existing literature by examining and comparing a large sample of both developed and emerging markets, as well as, confirming the results according to Pettengill et al.’s methodology with timevarying betas. / Este artigo seguirá a abordagem de Pettengill et al. (1995) para examinar a relação incondicional e condicional entre beta e retornos de janeiro de 1995 a maio de 2017 em uma amostra globalmente diversificada de 22 mercados emergentes e 23 mercados desenvolvidos. Além disso, a metodologia de Pettengill et al. (1995) é ajustada para levar em conta valores beta de variação do tempo de 1 ano para complementar e verificar a robustez dos resultados iniciais. Os resultados empíricos para a amostra completa, bem como as duas sub-amostras, indicam que não existe uma relação incondicional significativa entre beta e retorno, no entanto, quando se diferencia entre os mercados ascendentes e descendentes, é encontrada uma relação condicional significativa. Este artigo acrescenta-se à literatura existente, examinando e comparando uma grande amostra de mercados desenvolvidos e emergentes, bem como, confirmando os resultados de acordo com a metodologia de Pettengill et al., Com betas variáveis no tempo.