Conditional Relationship Between Beta and Return in the US Stock Market
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 estimate beta are modeled as a...
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| Format: | Article |
| Language: | English |
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Sprint Investify
2016-04-01
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| Series: | Expert Journal of Business and Management |
| Subjects: | |
| Online Access: | http://business.expertjournals.com/23446781-406/ |