Corpus ID: 54892440

The Conditional Relation between Beta and Returns

@inproceedings{Lanka2013TheCR,
  title={The Conditional Relation between Beta and Returns},
  author={S. Lanka. and P. D. Nimal and S. Fernando},
  year={2013}
}
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 beta, and beta suffice to describe the cross-section of expected returns. The empirical studies on the validity of the positive beta-return relationship of the SLB model have been extensively carried out for the past four decades using average realized stock returns and an index of security returns to… Expand
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