A time-varying perspective on the CAPM and downside betas

In the current study, we focus on the capital asset pricing model (CAPM) beta and downside betas. The empirical results of market index returns in the international samples of 23 developed countries exhibit significant differences between the CAPM and downside betas, indicating that these models cap...

Full description

Saved in:
Bibliographic Details
Published inInternational review of economics & finance Vol. 29; pp. 440 - 454
Main Authors Tsai, Hsiu-Jung, Chen, Ming-Chi, Yang, Chih-Yuan
Format Journal Article
LanguageEnglish
Published Greenwich Elsevier Inc 01.01.2014
Elsevier Science Ltd
Subjects
Beta
Capital assets
CAPM
CAPM beta
Correlation analysis
DCC
Developed countries
Downside beta
Expected returns
Industrialized nations
Securities markets
Studies
Time-varying
Developed countries
Downside beta
F30
C32
Time-varying
DCC
G12
G15
CAPM beta
Online AccessGet full text
ISSN1059-0560
1873-8036
DOI10.1016/j.iref.2013.07.006

Cover

More Information
Summary:In the current study, we focus on the capital asset pricing model (CAPM) beta and downside betas. The empirical results of market index returns in the international samples of 23 developed countries exhibit significant differences between the CAPM and downside betas, indicating that these models capture distinct risks. Considering autocorrelation variance, the DCC downside betas (HW-beta and HR-beta) more effectively explain the expected stock market returns than does the CAPM beta. •We use a DCC model to estimate the time-varying CAPM beta and downside betas.•The CAPM beta and downside betas capture different risks.•Downside betas explain the expected stock returns better than CAPM beta.
Bibliography:SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 14
ISSN:1059-0560
1873-8036
DOI:10.1016/j.iref.2013.07.006