Betas in Up and Down Markets
作者:
James B. Wiggins,
期刊:
Financial Review
(WILEY Available online 1992)
卷期:
Volume 27,
issue 1
页码: 107-123
ISSN:0732-8516
年代: 1992
DOI:10.1111/j.1540-6288.1992.tb01309.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
AbstractThis paper examines the single‐period Capital Asset Pricing Model/market model assumption of a linear relationship between returns on individual stocks and the market index. For portfolios formed by size, past performance, and historical beta, the results indicate that a specification which conditions beta on the sign of the market risk premium generally provides a better description of monthly cross‐sectional returns. Some theoretical explanations and research implications of the results are discus
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