Beta and returns revisited. Evidence from international stock markets
Part of : MIBES Transactions : international journal ; Vol.1, No.1, 2007, pages 75-85
Issue:
Pages:
75-85
Abstract:
Traditional tests of the CAPM following the Fama and MacBeth procedure are tests of the joint hypotheses that there is a relationship between beta and realized return and that the market risk premium is positive. Using the approach of Pettengill et al. (1995), we analyze the unconditional versus conditional CAPM relationship between risk and return for 26 international stock markets. We develop extensions to the original model to control for extra risk factors like skewness and kurtosis of stock market returns. Taking into account the difference between positive and negative market excess returns yields, significant conditional relationships between return and beta is found to be in general better fit when the market excess return is negative than positive.
Subject (LC):
Keywords:
CAPM, market risk premium, beta, return, international markets
Notes:
Περιέχει πίνακες και βιβλιογραφία, JEL classification: G12; G15
