Show simple item record

dc.contributor.authorFreeman, Mark C.*
dc.contributor.authorGuermat, C.*
dc.date.accessioned2009-11-03T10:09:10Z
dc.date.available2009-11-03T10:09:10Z
dc.date.issued2006
dc.identifier.citationFreeman, 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.en
dc.identifier.urihttp://hdl.handle.net/10454/3828
dc.descriptionNo
dc.description.abstractSeveral 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.en
dc.language.isoenen
dc.subjectCapital Asset Pricing Model
dc.subjectEmpirical asset pricing
dc.subjectDown-side risk
dc.titleThe conditional relationship between beta and returns: a re-assessment.en
dc.status.refereedYes
dc.typeArticle
dc.type.versionNo full-text in the repository
dc.identifier.doihttps://doi.org/10.1111/j.1468-5957.2006.00590.x
dc.openaccess.statusclosedAccess


This item appears in the following Collection(s)

Show simple item record