Cross-sectional regression analysis of return and beta in Japan |
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Authors: | Jiro Hodoshima Xavier GarzaGmez Michio Kunimura |
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Institution: | a Nagoya City University, Nagoya 467-8501, Japan |
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Abstract: | This paper investigates the relationship between return and beta using the cross-sectional regression method. Regression of return on beta without differentiating positive and negative market excess returns produces a flat relationship between return and beta. Taking into account the difference between positive and negative market excess returns yields significant conditional relationships between return and beta. The conditional relationship between return and beta is found to be in general better fit when the market excess return is negative than positive in terms of the goodness of fit measures such as R2 and the standard error of the equation. |
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Keywords: | Beta Up market Down market |
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