An Examination of Cross-Sectional Realized Stock Returns Using a Varying-Risk Beta Model PDF Download

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An Examination of Cross-Sectional Realized Stock Returns Using a Varying-Risk Beta Model

An Examination of Cross-Sectional Realized Stock Returns Using a Varying-Risk Beta Model PDF Author: Shelly Howton
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Languages : en
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Book Description
Using the dual-beta model of Bhardwaj and Brooks (1993), thisstudy examines the cross-section of realized stock returns. Bull-market betas are significantly positively related to returns and, except for some models in January, bear-market betas are significantly negatively related to returns. These relationships are not lost even after other independent variables, including size, book-to-market equity, and an earnings-price ratio, are added to the cross-sectional regressions. Book-to-market equity is an important factor in bear, but not bull, markets. Size is important in January and bear markets during February through December.
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