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

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

Vista previa
Conditional betas and Market re-definition Revisiting the Capital Asset Pricing Model with Mexican data.pdf - Versión Aceptada
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (786kB) | Vista previa


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

Tipo de elemento: Article
Palabras claves no controlados: CAPM, Human capital, Conditional beta, Time-series cross-sectional data
Divisiones: Economía
Usuario depositante: Lic. Josimar Pulido
Treviño Villarreal, María de LourdesNO ESPECIFICADONO ESPECIFICADO
Fecha del depósito: 18 Sep 2015 20:25
Última modificación: 18 Sep 2015 20:25

Actions (login required)

Ver elemento Ver elemento


Downloads per month over past year