this study, we examine Capital Asset Pricing Model (CAPM) in its international ontext (ICAPM) using the monthly equity …'s perspective. We verify the beta-return trade-off employing two approaches: the unconditional trade-off and the conditional … relationship. In this latter case, we find the country beta to be a significant variable explaining the cross-country variation of …

only determinant of risk in the South African stock market. We also found positive beta-idiosyncratic volatility (IVOL … to as the low-beta anomaly) run counter to theoretical expectations. This paper examines the beta anomaly in one of the …-sectional econometric techniques to analyze the risk-return relationship implied by the CAPM, using data that span over 5 years and 220 …