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| Tekijä: | Tang, G. Y. N. Shum, W. C. |
| Otsikko: | The Conditional Relationship between Beta and Returns: Recent Evidence from International Stock Markets |
| Lehti: | International Business Review
2003 : SEP, VOL. 12:1, p. 109-126 |
| Asiasana: | STOCK MARKETS INTERNATIONAL CAPITAL MARKET RISK MANAGEMENT |
| Kieli: | eng |
| Tiivistelmä: | This paper examines the conditional relationship between beta and returns in international stock markets for the period from January 1991 to December 2000. After recognizing the fact that while expected returns are always positive, realized returns could be positive or negative, we find a significant positive relationship between beta and returns in up market periods (positive market excess returns) but a significant negative relationship in down market periods (negative market excess returns). The results are robust for both monthly and weekly returns and for two different proxies of the world market portfolio. The findings indicate that beta is still a useful risk measure for portfolio managers in making optimal investment decisions. |
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