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

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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