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...
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| Published in | International review of economics & finance Vol. 29; pp. 440 - 454 |
|---|---|
| Main Authors | , , |
| Format | Journal Article |
| Language | English |
| Published |
Greenwich
Elsevier Inc
01.01.2014
Elsevier Science Ltd |
| Subjects | |
| Online Access | Get full text |
| ISSN | 1059-0560 1873-8036 |
| DOI | 10.1016/j.iref.2013.07.006 |
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| Abstract | 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. |
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| AbstractList | 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. [PUBLICATION ABSTRACT] 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. |
| Author | Chen, Ming-Chi Tsai, Hsiu-Jung Yang, Chih-Yuan |
| Author_xml | – sequence: 1 givenname: Hsiu-Jung surname: Tsai fullname: Tsai, Hsiu-Jung email: sharon0623@gmail.com organization: Department of Finance, National Kaohsiung First University of Science and Technology, Taiwan – sequence: 2 givenname: Ming-Chi surname: Chen fullname: Chen, Ming-Chi email: mcchen@finance.nsysu.edu.tw organization: Department of Finance, National Sun Yat-sen University, Taiwan – sequence: 3 givenname: Chih-Yuan surname: Yang fullname: Yang, Chih-Yuan email: chikyang@gmail.com organization: Department of Finance, Tainan University of Technology, Taiwan |
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| Cites_doi | 10.1111/j.1540-6261.1991.tb04627.x 10.1016/j.iref.2005.03.003 10.1142/S0219024909005257 10.1016/j.jbankfin.2005.06.005 10.2307/2329964 10.1016/j.ememar.2006.09.010 10.1086/260061 10.1093/rfs/hhj035 10.2307/2330813 10.1016/j.iref.2010.03.005 10.1016/j.iref.2011.01.004 10.1016/j.qref.2004.05.008 10.1086/323282 10.1093/rfs/6.3.527 10.1017/S0022109009990159 10.1016/S1566-0141(02)00042-0 10.1111/j.1540-6261.1975.tb03166.x 10.1016/S1059-0560(02)00144-2 10.1198/073500102288618487 10.1086/261755 10.2307/2109358 10.1016/0304-4076(92)90064-X 10.1016/j.mulfin.2006.10.001 10.1016/0304-405X(89)90049-4 10.1111/j.1540-6261.1996.tb05201.x 10.1086/261527 |
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Evidence in emerging market data publication-title: Journal of Multinational Financial Management doi: 10.1016/j.mulfin.2006.10.001 – volume: 24 start-page: 289 year: 1989 ident: 10.1016/j.iref.2013.07.006_bb0095 article-title: Time-varying conditional covariance in tests of asset pricing models publication-title: Journal of Financial Economics doi: 10.1016/0304-405X(89)90049-4 – volume: 51 start-page: 3 year: 1996 ident: 10.1016/j.iref.2013.07.006_bb0105 article-title: The conditional CAPM and the cross-section of expected returns publication-title: Journal of Finance doi: 10.1111/j.1540-6261.1996.tb05201.x – volume: 96 start-page: 116 year: 1988 ident: 10.1016/j.iref.2013.07.006_bb0035 article-title: A capital asset pricing model with time-varying covariances publication-title: Journal of Political Economy doi: 10.1086/261527 |
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| Title | A time-varying perspective on the CAPM and downside betas |
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