An examination of cross-sectional stock returns using a varying-risk beta model.

Using the dual-beta model of Bhardwaj and Brooks (1993), this study 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.

Main Author: Howton, Shelly W.
Other Authors: Peterson, David R.
Language: English
Published: 1998
Online Access: http://ezproxy.villanova.edu/login?url=https://digital.library.villanova.edu/Item/vudl:177117