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Please, correct just 2 things in your thesis:
Page 2: Please, put the full name of your adviser;
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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.
| Identifer | oai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/20156 |
| Date | 16 January 2018 |
| Creators | Spierts, Joshua Patrick |
| Contributors | Matos, João Manuel Gonçalves Amaro de, Escolas::EESP, Sampaio, Joelson Oliveira, Boons, Martijn |
| Source Sets | IBICT Brazilian ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Source | reponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV |
| Rights | info:eu-repo/semantics/openAccess |
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