The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America

Using the approach of Pettengill et al. (1995), we analyze the un-conditional versus conditional cross-sectional CAPM relationship between portfolio beta-risk and return in the Argentinean, Brazilian, Chilean, and Mexican stock markets. We develop extensi

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Year of publication:	2004
Authors:	Sandoval, Eduardo ; Saens, Rodrigo
Published in:	Latin American Journal of Economics-formerly Cuadernos de Economía. - Instituto de Economía, ISSN 0717-6821. - Vol. 41.2004, 122, p. 65-89
Publisher:	Instituto de Economía
Subject:	Risk \| return \| stock market integration

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	G12 - Asset Pricing ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005730180