An Examination of Cross-Sectional Realized Stock Returns Using a Varying-Risk Beta Model
Author | : Shelly Howton |
Publisher | : |
Total Pages | : |
Release | : 1998 |
ISBN-10 | : OCLC:1291271132 |
ISBN-13 | : |
Rating | : 4/5 (32 Downloads) |
Download or read book An Examination of Cross-Sectional Realized Stock Returns Using a Varying-Risk Beta Model written by Shelly Howton and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.