Conditional betas and Market re-definition: Revisiting the capital asset pricing model with Mexican data

This paper examined the time-series cross-section relation between conditional betas and stock returns using monthly data for Mexico for the period January 1999 to August 2008. The portfolio-level analysis and regressions indicated a positive relation between conditional betas and the expected retu...

Descripción completa

Detalles Bibliográficos
Autor principal: Treviño Villarreal, María de Lourdes
Formato: Artículo
Lenguaje:inglés
Publicado: International Research Journals 2012
Acceso en línea:http://eprints.uanl.mx/7506/1/Conditional%20betas%20and%20Market%20re-definition%20Revisiting%20the%20Capital%20Asset%20Pricing%20Model%20with%20Mexican%20data.pdf
_version_ 1824370441509142528
author Treviño Villarreal, María de Lourdes
author_facet Treviño Villarreal, María de Lourdes
author_sort Treviño Villarreal, María de Lourdes
collection Repositorio Institucional
description This paper examined the time-series cross-section relation between conditional betas and stock returns using monthly data for Mexico for the period January 1999 to August 2008. The portfolio-level analysis and regressions indicated a positive relation between conditional betas and the expected returns. The two proxies for a more complete market return measure, the labor income beta and the foreign stockmarket return, proved significant, adding explanatory power to the models. The results suggested, however, that it is necessary to allow for time variations in betas as well in order to explain the variations of the monthly average returns. A size effect was also found, although it is not very important. In spite of the empirical support found for the conditional CAPM over the static CAPM, both specifications explain about half of the monthly average return variation, which calls for differences in the pricing of risk between developed and emerging countries
format Article
id eprints-7506
institution UANL
language English
publishDate 2012
publisher International Research Journals
record_format eprints
spelling eprints-75062015-09-18T20:25:24Z http://eprints.uanl.mx/7506/ Conditional betas and Market re-definition: Revisiting the capital asset pricing model with Mexican data Treviño Villarreal, María de Lourdes This paper examined the time-series cross-section relation between conditional betas and stock returns using monthly data for Mexico for the period January 1999 to August 2008. The portfolio-level analysis and regressions indicated a positive relation between conditional betas and the expected returns. The two proxies for a more complete market return measure, the labor income beta and the foreign stockmarket return, proved significant, adding explanatory power to the models. The results suggested, however, that it is necessary to allow for time variations in betas as well in order to explain the variations of the monthly average returns. A size effect was also found, although it is not very important. In spite of the empirical support found for the conditional CAPM over the static CAPM, both specifications explain about half of the monthly average return variation, which calls for differences in the pricing of risk between developed and emerging countries International Research Journals 2012 Article PeerReviewed text en cc_by_nc_nd http://eprints.uanl.mx/7506/1/Conditional%20betas%20and%20Market%20re-definition%20Revisiting%20the%20Capital%20Asset%20Pricing%20Model%20with%20Mexican%20data.pdf http://eprints.uanl.mx/7506/1.haspreviewThumbnailVersion/Conditional%20betas%20and%20Market%20re-definition%20Revisiting%20the%20Capital%20Asset%20Pricing%20Model%20with%20Mexican%20data.pdf Treviño Villarreal, María de Lourdes (2012) Conditional betas and Market re-definition: Revisiting the capital asset pricing model with Mexican data. Journal of Research in International Business and Management, 7 (2). pp. 179-189. ISSN 2251-0028
spellingShingle Treviño Villarreal, María de Lourdes
Conditional betas and Market re-definition: Revisiting the capital asset pricing model with Mexican data
thumbnail https://rediab.uanl.mx/themes/sandal5/images/online.png
title Conditional betas and Market re-definition: Revisiting the capital asset pricing model with Mexican data
title_full Conditional betas and Market re-definition: Revisiting the capital asset pricing model with Mexican data
title_fullStr Conditional betas and Market re-definition: Revisiting the capital asset pricing model with Mexican data
title_full_unstemmed Conditional betas and Market re-definition: Revisiting the capital asset pricing model with Mexican data
title_short Conditional betas and Market re-definition: Revisiting the capital asset pricing model with Mexican data
title_sort conditional betas and market re definition revisiting the capital asset pricing model with mexican data
url http://eprints.uanl.mx/7506/1/Conditional%20betas%20and%20Market%20re-definition%20Revisiting%20the%20Capital%20Asset%20Pricing%20Model%20with%20Mexican%20data.pdf
work_keys_str_mv AT trevinovillarrealmariadelourdes conditionalbetasandmarketredefinitionrevisitingthecapitalassetpricingmodelwithmexicandata