On the conditional relationship between beta and return in international stock returns |
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| Affiliation: | 1. Affiliated Liuzhou Hospital of Southern Medical University, Liuzhou, Guangxi, China;2. The First Affiliated Hospital of Sun Yat-Sen University, Guangzhou, Guangdong, China;3. Foshan Hospital of Traditional Chinese Medicine, Guangdong, China;4. The First People’s Hospital of Nanning, Nanning, China;5. Zhongshan Chenxinghai Hospital, Guangdong, China;6. Institute of Hospital Management, Chinese PLA General Hospital, Beijing, China;7. Continuing Learning College of Guangzhou University, Guangdong, China;1. School of Finance, Tianjin University of Finance and Economics, Tianjin, China;2. School of Finance, Central University of Finance and Economics, Beijing, China;1. School of Business and Economics and Center for Empirical Research in Businesses (CIEN), Universidad Diego Portales, Santiago, Chile;2. School of Economics and Finance, Universidad del Pacífico, Lima, Peru |
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| Abstract: | This paper examines the conditional relationship between beta and return in international stock returns between January 1970 and July 1998 using the approach of Pettengill et al. [Pettengill, G., Sundaran, S., & Mathur, I. (1995). The conditional relation between beta and return. J Financ Quant Anal, 30, 101–116] (1995).Consistent with previous research, there is a flat unconditional relationship between beta and return. However, when the sample is split into up market and down market months, there is support for the relationship. There is a significant positive relationship between beta and return in up market months and a significant negative relationship between beta and return in down market months. Subsidiary results highlight a January effect in the conditional beta and return relationship. |
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