The Conditional Beta and the Cross-Section of Expected Returns
"We examine the cross-sectional relation between conditional betas and expected stock returns for a sample period of July 1963 to December 2004. Our portfolio-level analyses and the firm-level cross-sectional regressions indicate a positive, significant relation between conditional betas and the cross-section of expected returns. The average return difference between high- and low-beta portfolios ranges between 0.89% and 1.01% per month, depending on the time-varying specification of conditional beta. After controlling for size, book-to-market, liquidity, and momentum, the positive relation between market beta and expected returns remains economically and statistically significant." Copyright (c) 2009 Financial Management Association International..
Year of publication: |
2009
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Authors: | Bali, Turan G. ; Cakici, Nusret ; Tang, Yi |
Published in: |
Financial Management. - Financial Management Association - FMA. - Vol. 38.2009, 1, p. 103-137
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Publisher: |
Financial Management Association - FMA |
Saved in:
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