.

Estimating the beta-return relationship by considering the sign and the magnitude of daily returns

LAUR Repository

Estimating the beta-return relationship by considering the sign and the magnitude of daily returns

Ben Sita, Bernard; SOB; 200603722; Department of Finance and Accounting (FINA); bernard.bensita@lau.edu.lb; Lebanese American University
URI: http://hdl.handle.net/10725/5928
URL: http://www.sciencedirect.com/science/article/pii/S1062976917301485
DOI: https://doi.org/10.1016/j.qref.2017.04.010

Abstract:

We test the beta-return relationship under the working assumption that beta is realized under constrained but innovative trading environments. Specifically, we estimate a residual beta risk as the difference between a probability-weighted realized beta and an ordinary least squares (OLS) beta, and test the beta-return relationship using daily returns on the U.S. stock market factor and 30 U.S. industries. Our estimates of the market risk premium using the cross-sectional regression (CSR) of Fama and MacBeth (1973) over a period spanning from 1926/07 to 2014/12 are in line with the central prediction of the capital asset pricing model (CAPM) that the realized return is linearly related to beta.

Citation:

Sita, B. B. (2017). Estimating the beta-return relationship by considering the sign and the magnitude of daily returns. The Quarterly Review of Economics and Finance.

Access Status:

N/A

Show full item record

Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Search LAUR


Advanced Search

Browse

My Account