BRADFORD SCHOLARS

    • Sign in
    View Item 
    •   Bradford Scholars
    • Management and Law
    • Management and Law Publications
    • View Item
    •   Bradford Scholars
    • Management and Law
    • Management and Law Publications
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

    All of Bradford ScholarsCommunitiesAuthorsTitlesSubjectsPublication DateThis CollectionAuthorsTitlesSubjectsPublication Date

    My Account

    Sign in

    HELP

    Bradford Scholars FAQsCopyright Fact SheetPolicies Fact SheetDeposit Terms and ConditionsDigital Preservation Policy

    Statistics

    Display statistics

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

    • CSV
    • RefMan
    • EndNote
    • BibTex
    • RefWorks
    Thumbnail
    Publication date
    2006
    Author
    Freeman, Mark C.
    Guermat, C.
    Keyword
    Capital Asset Pricing Model
    Empirical asset pricing
    Down-side risk
    Peer-Reviewed
    Yes
    
    Metadata
    Show full item record
    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 available 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
    http://dx.doi.org/10.1111/j.1468-5957.2006.00590.x
    Type
    Article
    Collections
    Management and Law Publications

    entitlement

     
    DSpace software (copyright © 2002 - 2019)  DuraSpace
    Quick Guide | Contact Us
    Open Repository is a service operated by 
    Atmire NV
     

    Export search results

    The export option will allow you to export the current search results of the entered query to a file. Different formats are available for download. To export the items, click on the button corresponding with the preferred download format.

    By default, clicking on the export buttons will result in a download of the allowed maximum amount of items.

    To select a subset of the search results, click "Selective Export" button and make a selection of the items you want to export. The amount of items that can be exported at once is similarly restricted as the full export.

    After making a selection, click one of the export format buttons. The amount of items that will be exported is indicated in the bubble next to export format.