The Conditional Relation between Beta and Returns
Unlike previous studies, this paper finds a consistent and highly significant relationship between beta and cross-sectional portfolio returns. The key distinction between our tests and previous tests is the recognition that the positive relationship between returns and beta predicted by the Sharpe-L...
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| Veröffentlicht in: | Journal of financial and quantitative analysis 1995-03, Vol.30 (1), p.101-116 |
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| container_end_page | 116 |
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| container_issue | 1 |
| container_start_page | 101 |
| container_title | Journal of financial and quantitative analysis |
| container_volume | 30 |
| creator | Pettengill, Glenn N. Sundaram, Sridhar Mathur, Ike |
| description | Unlike previous studies, this paper finds a consistent and highly significant relationship between beta and cross-sectional portfolio returns. The key distinction between our tests and previous tests is the recognition that the positive relationship between returns and beta predicted by the Sharpe-Lintner-Black model is based on expected rather than realized returns. In periods where excess market returns are negative, an inverse relationship between beta and portfolio returns should exist. When we adjust for the expectations concerning negative market excess returns, we find a consistent and significant relationship between beta and returns for the entire sample, for subsample periods, and for data divided by months in a year. Separately, we find support for a positive payment for beta risk. |
| doi_str_mv | 10.2307/2331255 |
| format | Article |
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Separately, we find support for a positive payment for beta risk.</description><subject>Beta</subject><subject>Coefficients</subject><subject>Economic conditions</subject><subject>Economic models</subject><subject>Expected returns</subject><subject>Financial securities</subject><subject>Growth rate</subject><subject>Investment risk</subject><subject>Mountain</subject><subject>Null hypothesis</subject><subject>Per capita</subject><subject>Personal income</subject><subject>Portfolio management</subject><subject>Portfolio performance</subject><subject>Proxy reporting</subject><subject>Proxy statements</subject><subject>Quantitative analysis</subject><subject>Rates of return</subject><subject>Retail sales</subject><subject>Statistical analysis</subject><subject>Stock returns</subject><subject>Studies</subject><subject>Systematic risk</subject><subject>Tradeoffs</subject><issn>0022-1090</issn><issn>1756-6916</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1995</creationdate><recordtype>article</recordtype><sourceid>BENPR</sourceid><recordid>eNp90F1LwzAUBuAgCs4p_oUionhRzcfy0Us33BQGok4Qb0Lanmpn125JhvrvTelQ2IXkIuHk4ZyXg9AxwZeUYXlFGSOU8x3UI5KLWCRE7KIexpTGBCd4Hx04N8e4LeAeIrN3iEZNnZe-bGpTRY9QmfYZpeA_AepoCN5Eps7Dj1_b2h2ivcJUDo42dx89j29mo9t4ej-5G11P44wT6mMZBhAms5yolGWkoAUPxwBmBRukguUFEByqrEi4BMFTxulAKZHmOM9UylkfnXV9l7ZZrcF5vShdBlVlamjWTjOlEkmxCvBkC86bEDRk05QQNeAJpQGddyizjXMWCr205cLYb02wbvemN3sL8rSTc-cb-w-LO1Y6D1-_zNgPLSSTXIvJg34a4-HL7FXp1l9sAphFasv8Df5ibvf-ATmahDA</recordid><startdate>19950301</startdate><enddate>19950301</enddate><creator>Pettengill, Glenn N.</creator><creator>Sundaram, Sridhar</creator><creator>Mathur, Ike</creator><general>Cambridge University Press</general><general>University of Washington Graduate School of Business Administration</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>0U~</scope><scope>1-H</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7X1</scope><scope>7XB</scope><scope>87Z</scope><scope>8A9</scope><scope>8BJ</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>ANIOZ</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FQK</scope><scope>FRAZJ</scope><scope>FRNLG</scope><scope>F~G</scope><scope>JBE</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>L.0</scope><scope>M0C</scope><scope>PHGZM</scope><scope>PHGZT</scope><scope>PKEHL</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope><scope>S0X</scope></search><sort><creationdate>19950301</creationdate><title>The Conditional Relation between Beta and Returns</title><author>Pettengill, Glenn N. ; 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Financ. Quant. Anal</addtitle><date>1995-03-01</date><risdate>1995</risdate><volume>30</volume><issue>1</issue><spage>101</spage><epage>116</epage><pages>101-116</pages><issn>0022-1090</issn><eissn>1756-6916</eissn><coden>JFQAAC</coden><abstract>Unlike previous studies, this paper finds a consistent and highly significant relationship between beta and cross-sectional portfolio returns. The key distinction between our tests and previous tests is the recognition that the positive relationship between returns and beta predicted by the Sharpe-Lintner-Black model is based on expected rather than realized returns. In periods where excess market returns are negative, an inverse relationship between beta and portfolio returns should exist. When we adjust for the expectations concerning negative market excess returns, we find a consistent and significant relationship between beta and returns for the entire sample, for subsample periods, and for data divided by months in a year. Separately, we find support for a positive payment for beta risk.</abstract><cop>New York, USA</cop><pub>Cambridge University Press</pub><doi>10.2307/2331255</doi><tpages>16</tpages></addata></record> |
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| issn | 0022-1090 1756-6916 |
| language | eng |
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| source | Jstor Complete Legacy; Business Source Complete; Cambridge Journals |
| subjects | Beta Coefficients Economic conditions Economic models Expected returns Financial securities Growth rate Investment risk Mountain Null hypothesis Per capita Personal income Portfolio management Portfolio performance Proxy reporting Proxy statements Quantitative analysis Rates of return Retail sales Statistical analysis Stock returns Studies Systematic risk Tradeoffs |
| title | The Conditional Relation between Beta and Returns |
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