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...
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1998
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An examination of cross-sectional stock returns using a varying-risk beta model. Howton, Shelly W. Peterson, David R. 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. 1998 Villanova Faculty Authorship vudl:177117 The Financial Review 33, 1998, 199- 212. en |
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An examination of cross-sectional stock returns using a varying-risk beta model. |
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Howton, Shelly W. Peterson, David R. |
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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. |
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The Financial Review 33, 1998, 199- 212. |
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Howton, Shelly W. Peterson, David R. |
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An examination of cross-sectional stock returns using a varying-risk beta model. |
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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. |
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An examination of cross-sectional stock returns using a varying-risk beta model. |
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An examination of cross-sectional stock returns using a varying-risk beta model. |
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An examination of cross-sectional stock returns using a varying-risk beta model. |
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An examination of cross-sectional stock returns using a varying-risk beta model. |
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An examination of cross-sectional stock returns using a varying-risk beta model. |
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examination of cross-sectional stock returns using a varying-risk beta model. |
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