Conditional Relationship Between Beta and Return in the US Stock Market

Article English OPEN
Bing XIAO;
(2016)
  • Publisher: Sprint Investify
  • Journal: Expert Journal of Business and Management (issn: 2344-6781)
  • Publisher copyright policies & self-archiving
  • Subject: Conditional beta | Market risk premium | ARCH models | US stock market | Business | HF5001-6182

According to the CAPM, risk is measured by the beta, and the relation between required expected return and beta is linear. This paper examines the conditional relationship between beta and return in the US stock market. The conditional covariances and variances used to ... View more
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