THE CONDITIONAL RELATIONSHIP BETWEEN PORTFOLIO BETA AND RETURN: EVIDENCE FROM LATIN AMERICA

Using the approach of Pettengill et al. (1995), we analyze the un-conditional versus conditional cross-sectional CAPM relationship between portfolio beta-risk and return in the Argentinean, Brazilian, Chilean, and Mexican stock markets. We develop extensions to the original model to control for extr...

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Autores principales:	SANDOVAL A.,EDUARDO, SAENS N.,RODRIGO
Lenguaje:	English
Publicado:	Instituto de Economía, Pontificia Universidad Católica de Chile 2004
Materias:	Risk Return Stock Market Integration
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212004012200003
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spelling	oai:scielo:S0717-682120040122000032004-05-31THE CONDITIONAL RELATIONSHIP BETWEEN PORTFOLIO BETA AND RETURN: EVIDENCE FROM LATIN AMERICASANDOVAL A.,EDUARDOSAENS N.,RODRIGO Risk Return Stock Market Integration Using the approach of Pettengill et al. (1995), we analyze the un-conditional versus conditional cross-sectional CAPM relationship between portfolio beta-risk and return in the Argentinean, Brazilian, Chilean, and Mexican stock markets. We develop extensions to the original model to control for extra risk factors documented in the empirical literature: size, book-to-market ratio and momentum. The paper also presents the first testing of the market integration hypothesis among the Latin American stock markets. The results show that the conditional CAPM is a dominant approach even after controlling for risk factors different from beta. Statistically significant asymmetries are found, however, in the beta-risk premium between up and down markets. Additional findings suggest that the degree of stock market integration among Latin American markets falls during downturnsinfo:eu-repo/semantics/openAccessInstituto de Economía, Pontificia Universidad Católica de ChileCuadernos de economía v.41 n.122 20042004-04-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212004012200003en10.4067/S0717-68212004012200003
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Risk Return Stock Market Integration
spellingShingle	Risk Return Stock Market Integration SANDOVAL A.,EDUARDO SAENS N.,RODRIGO THE CONDITIONAL RELATIONSHIP BETWEEN PORTFOLIO BETA AND RETURN: EVIDENCE FROM LATIN AMERICA
description	Using the approach of Pettengill et al. (1995), we analyze the un-conditional versus conditional cross-sectional CAPM relationship between portfolio beta-risk and return in the Argentinean, Brazilian, Chilean, and Mexican stock markets. We develop extensions to the original model to control for extra risk factors documented in the empirical literature: size, book-to-market ratio and momentum. The paper also presents the first testing of the market integration hypothesis among the Latin American stock markets. The results show that the conditional CAPM is a dominant approach even after controlling for risk factors different from beta. Statistically significant asymmetries are found, however, in the beta-risk premium between up and down markets. Additional findings suggest that the degree of stock market integration among Latin American markets falls during downturns
author	SANDOVAL A.,EDUARDO SAENS N.,RODRIGO
author_facet	SANDOVAL A.,EDUARDO SAENS N.,RODRIGO
author_sort	SANDOVAL A.,EDUARDO
title	THE CONDITIONAL RELATIONSHIP BETWEEN PORTFOLIO BETA AND RETURN: EVIDENCE FROM LATIN AMERICA
title_short	THE CONDITIONAL RELATIONSHIP BETWEEN PORTFOLIO BETA AND RETURN: EVIDENCE FROM LATIN AMERICA
title_full	THE CONDITIONAL RELATIONSHIP BETWEEN PORTFOLIO BETA AND RETURN: EVIDENCE FROM LATIN AMERICA
title_fullStr	THE CONDITIONAL RELATIONSHIP BETWEEN PORTFOLIO BETA AND RETURN: EVIDENCE FROM LATIN AMERICA
title_full_unstemmed	THE CONDITIONAL RELATIONSHIP BETWEEN PORTFOLIO BETA AND RETURN: EVIDENCE FROM LATIN AMERICA
title_sort	conditional relationship between portfolio beta and return: evidence from latin america
publisher	Instituto de Economía, Pontificia Universidad Católica de Chile
publishDate	2004
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212004012200003
work_keys_str_mv	AT sandovalaeduardo theconditionalrelationshipbetweenportfoliobetaandreturnevidencefromlatinamerica AT saensnrodrigo theconditionalrelationshipbetweenportfoliobetaandreturnevidencefromlatinamerica AT sandovalaeduardo conditionalrelationshipbetweenportfoliobetaandreturnevidencefromlatinamerica AT saensnrodrigo conditionalrelationshipbetweenportfoliobetaandreturnevidencefromlatinamerica
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THE CONDITIONAL RELATIONSHIP BETWEEN PORTFOLIO BETA AND RETURN: EVIDENCE FROM LATIN AMERICA

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