The conditional relationship between beta and returns: a re-assessment.

Description

No / Several recent empirical tests of the Capital Asset Pricing Model have been based on the conditional relationship between betas and market returns. This paper shows that this method needs reconsideration. An adjusted version of this test is presented. It is then demonstrated that the adjusted technique has similar, or lower, power to the more easily implemented CAPM test of Fama and MacBeth (1973) if returns are normally distributed.

Links & Downloads

1. Freeman, M.C. and Guermet, C. (2006). The conditional relationship between beta and returns: a re-assessment. Journal of Business Finance and Accounting. Vol. 33, No. 7-8, pp. 1213-1239.
2. http://hdl.handle.net/10454/3828
3. https://doi.org/10.1111/j.1468-5957.2006.00590.x

Tags

Capital Asset Pricing Model

Empirical asset pricing

Down-side risk

Additional Fields

Identifer	oai:union.ndltd.org:BRADFORD/oai:bradscholars.brad.ac.uk:10454/3828
Date	January 2006
Creators	Freeman, Mark C., Guermat, C.
Source Sets	Bradford Scholars
Language	English
Detected Language	English
Type	Article, No full-text in the repository