Joint conditionality in testing the beta-return relationship: Evidence based on the UK stock market

  title={Joint conditionality in testing the beta-return relationship: Evidence based on the UK stock market},
  author={David A. Morelli},
  journal={Journal of International Financial Markets, Institutions and Money},
  • D. Morelli
  • Published 1 February 2011
  • Business
  • Journal of International Financial Markets, Institutions and Money

Tables from this paper

Conditional Relationship Between Beta and Return in the US Stock Market

According to the CAPM, risk is measured by the beta, and the relation between required expected return and beta is linear. This paper examines the conditional relationship between beta and return in

Conditional Beta: Evidence from Emerging Stock Markets

Using the Pettengill et al. (1995) asset pricing model, this paper examines the relationship between conditional beta and returns in 12 emerging stock markets over the period of 2005 to 2017. In

An examination of the cross-sectional relationship of beta and return in international stock returns: evidence from emerging and developed markets

This paper will follow Pettengill et al.’s (1995) approach to examine the unconditional and conditional relationship between beta and returns from January 1995 to May 2017 in a well globally

Beta and Size Revisited: Evidence from the French Stock Market

According to the size effect, small cap securities generally generate greater returns than those of large cap securities. Our study confirms that the size effect does exist in the French stock

The Conditional Pricing of Systematic and Idiosyncratic Risk in the U.K. Equity Market

We test whether firm idiosyncratic risk is priced in a large cross-section of U.K. stocks. A distinguishing feature of our paper is that our tests allow for a conditional relationship between

Conditional pricing of risks

Purpose – This paper aims to examine the pricing effects of risks conditional on market situations. Design/methodology/approach – The model used to test for the conditional pricing effects of

Essays on asset pricing

Significant jumps have been found in stock prices and stock indexes, suggesting that jump risk is a part of systematic risks. Since jump risk is priced, adding jump risk into the traditional finance

Determinants of Expected Rate of Return on Common Stock: An Empirical Study in Sri Lanka

Identifying the factors related to the expected rate of return on common stock is a puzzle for investors in an increasingly competitive market. To solve this puzzle, this study investigates how the

An Empirical Examination of Conditional Four-Moment CAPM and APT Pre-Specified Macroeconomic Variables with Market Liquidity in Arab Stocks Markets

This thesis empirically examined conditional four-moment CAPM and APT pre-specified macroeconomic variables with market liquidity in four Arab stock markets, namely Jordan, Morocco, Tunisia and

Beta and Returns Revisited: Evidence from the German Stock Market

The Capital Asset Pricing Model (CAPM) predicts that the expected return on a stock depends on its systematic risk as measured by its beta. However, recent empirical evidence suggests that the

Testing the Conditional CAPM Using Multivariate GARCH-M

The relation between expected return and time varying risk on the Swedish stock market for the period 1977 to 1990 is examined. Using a parsimonious multivariate GARCH-M model, the conditional Sharpe

The Conditional Relation between Beta and Returns

The Capital Asset Pricing Model (CAPM) of Sharpe (1964), Lintner (1965), and Black (1972) (SLB) states that, in equilibrium, the expected return on a security is a positive linear function of its

The Conditional Relation between Beta and Returns

Abstract Unlike previous studies, this paper finds a consistent and highly significant relationship between beta and cross-sectional portfolio returns. The key distinction between our tests and

Is Beta Still Alive? Conclusive Evidence from the Swiss Stock Market

Recent evidence from Fama and French (1992, 1996) and others shows that betas and returns are not related empirically. They interpret this as evidence against the validity of the capital asset

An Empirical Re-Examination of the Cross-Section of Expected Returns: UK Evidence

This paper is a study of the Fama and French (1992) analysis in the UK context. Consistent with their findings, our results do not support a positive relationship between beta and average monthly

A Capital Asset Pricing Model with Time-Varying Covariances

The capital asset pricing model provides a theoretical structure for the pricing of assets with uncertain returns. The premium to induce risk-averse investors to bear risk is proportional to the

Explaining the cross-section of UK expected stock returns

Abstract We examine the cross-section of expected returns for UK equities. For the period 1973–1992, we test for a relationship between expected returns and market value, book-to-market equity,

Beta, size, book-to-market equity and returns: A study based on UK data