Terregrossa, Salvatore J.; Eraslan, Veysel - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-8
, in an unconditional sense. However, the study does find a systematic relation between realized portfolio excess-return … and beta, conditioned upon the sign of realized market-portfolio excess-return. Moreover, an even stronger systematic … relation is found between realized portfolio excess-return and beta, conditioned not only upon the sign, but also the magnitude …