The conditional relationship between beta and returns: a re-assessment.
Publication date
2006Peer-Reviewed
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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.Version
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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 Version of Record
https://doi.org/10.1111/j.1468-5957.2006.00590.xType
Articleae974a485f413a2113503eed53cd6c53
https://doi.org/10.1111/j.1468-5957.2006.00590.x