Publication

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

Freeman, Mark C.
; 
Guermat, C.
Publication Date
2006
End of Embargo
Supervisor
Keywords
Capital Asset Pricing Model, Empirical asset pricing, Down-side risk
Rights
Peer-Reviewed
Yes
Open Access status
closedAccess
Accepted for publication
Institution
Department
Awarded
Embargo end date
Collections
Management and Law Publications
Show all metadata
Additional title
Abstract
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.
URI
http://hdl.handle.net/10454/3828
Version
No full-text in the repository
Citation
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.
Link to publisher’s version
Link to published version
Link to Version of Record
https://doi.org/10.1111/j.1468-5957.2006.00590.x
Type
Article
Qualification name
Notes