Conditional Relationship Between Beta and Return in the US Stock Market
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Jagannathan, Ravi & Wang, Zhenyu, 1996.
"The Conditional CAPM and the Cross-Section of Expected Returns,"
Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
- Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis.
- Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
- Fama, Eugene F & French, Kenneth R, 1995. "Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 131-155, March.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Turan G. Bali & Robert F. Engle & Yi Tang, 2017.
"Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns,"
Management Science, INFORMS, vol. 63(11), pages 3760-3779, November.
- Turan G. Bali & Robert F. Engle & Yi Tang, 2013. "Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1305, Koc University-TUSIAD Economic Research Forum.
- Bing Xiao, 2016. "Conditional Relationship Between Beta and Return in the US Stock Market," Post-Print hal-02541117, HAL.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Ahmad Faisol & Sulaeman Rahman Nidar & Aldrin Herwany, 2022. "The Analysis of Risk and Return Using Sharia Compliance Assets Pricing Model with Profit-Sharing Approach (Mudharabah) in Energy Sector Company in Indonesia," JRFM, MDPI, vol. 15(10), pages 1-14, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Stefano D'Addona & Mattia Ciprian, 2007.
"Time Varying Sensitivities On A Grid Architecture,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 307-329.
- Mattia Ciprian & Stefano d'Addona, 2005. "Time Varying Sensitivities on a GRID architecture," Finance 0511007, University Library of Munich, Germany.
- Sebastien Valeyre & Sofiane Aboura & Denis Grebenkov, 2019. "The Reactive Beta Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(1), pages 71-113, March.
- Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 19-48, June.
- Hira Aftab & A. B. M. Rabiul Alam Beg, 2021. "Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market," IJFS, MDPI, vol. 9(1), pages 1-13, January.
- Cathy W. S. Chen & Richard H. Gerlach & Ann M. H. Lin, 2011. "Multi-regime nonlinear capital asset pricing models," Quantitative Finance, Taylor & Francis Journals, vol. 11(9), pages 1421-1438, April.
- Leticia Castaño & José E. Farinós & Ana M. Ibáñez, 2024. "The stock market reaction to political and economic changes: the Spanish case," Review of Economic Design, Springer;Society for Economic Design, vol. 28(3), pages 593-630, September.
- Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, University Library of Munich, Germany.
- Cathy W. S. Chen & Muyi Li & Nga T. H. Nguyen & Songsak Sriboonchitta, 2017. "On Asymmetric Market Model with Heteroskedasticity and Quantile Regression," Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 155-174, January.
- John H. Cochrane, 1999.
"New facts in finance,"
Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
- John H. Cochrane, 1999. "New Facts in Finance," CRSP working papers 490, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- John H. Cochrane, 1999. "New Facts in Finance," NBER Working Papers 7169, National Bureau of Economic Research, Inc.
- Horowitz, Joel L. & Loughran, Tim & Savin, N. E., 2000. "The disappearing size effect," Research in Economics, Elsevier, vol. 54(1), pages 83-100, March.
- Martin Lettau & Sydney Ludvigson, 2001.
"Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying,"
Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York.
- Michael Drew & Madhu Veeraraghavan, 2002. "Idiosyncratic Volatility: Evidence from Asia," School of Economics and Finance Discussion Papers and Working Papers Series 107, School of Economics and Finance, Queensland University of Technology.
- Wang, Lu, 2021. "Time-varying conditional beta, return spillovers, and dynamic bank diversification strategies," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 272-280.
- Madhusudan Karmakar, 2007. "Asymmetric Volatility and Risk-return Relationship in the Indian Stock Market," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 8(1), pages 99-116, January.
- Gregory Price & Warren Whatley, 2021.
"Did profitable slave trading enable the expansion of empire?: The Asiento de Negros, the South Sea Company and the financial revolution in Great Britain,"
Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 15(3), pages 675-718, September.
- Gregory Price & Warren Whatley, 2021. "Did profitable slave trading enable the expansion of empire?: The Asiento de Negros, the South Sea Company and the financial revolution in Great Britain," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 15(3), pages 675-718, September.
- Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018.
"An intertemporal CAPM with stochastic volatility,"
Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
- John Y. Campbell & Stefano Giglio & Christopher Polk & Robert Turley, 2012. "An Intertemporal CAPM with Stochastic Volatility," NBER Working Papers 18411, National Bureau of Economic Research, Inc.
- Campbell, John Y & Polk, Christopher & Giglio, Stefano & Turley, Robert, 2015. "An Intertemporal CAPM with Stochastic Volatility," CEPR Discussion Papers 10681, C.E.P.R. Discussion Papers.
- Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An Intertemporal CAPM with stochastic volatility," LSE Research Online Documents on Economics 69634, London School of Economics and Political Science, LSE Library.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2013.
"Time-varying beta: a boundedly rational equilibrium approach,"
Journal of Evolutionary Economics, Springer, vol. 23(3), pages 609-639, July.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2010. "Time-Varying Beta: A Boundedly Rational Equilibrium Approach," Research Paper Series 275, Quantitative Finance Research Centre, University of Technology, Sydney.
- Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch small und mid caps? : Eine empirische Untersuchung basierend auf europäischen Aktienindizes," Papers 05-10, Sonderforschungsbreich 504.
- Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications 05-10, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 9, July-Dece.
More about this item
Keywords
Conditional beta; Market risk premium; ARCH models; US stock market;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G1 - Financial Economics - - General Financial Markets
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:exp:bsness:v:4:y:2016:i:1:p:46-55. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alin Opreana The email address of this maintainer does not seem to be valid anymore. Please ask Alin Opreana to update the entry or send us the correct address (email available below). General contact details of provider: https://business.expertjournals.com/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.