Betas in Up and Down Markets

James B Wiggins

The Financial Review, 1992, vol. 27, issue 1, 107-23

Abstract: This paper examines the single-period Capital Asset Pricing Model/market model assumption of a linear relationship between returns on individual stocks and the market index. For portfolios formed by size, past performance, and historical beta, the results indicate that a specification which conditions beta on the sign of the market risk premium generally provides a better description of monthly cross-sectional returns. Some theoretical explanations and research implications of the results are discussed. Copyright 1992 by MIT Press.

Date: 1992
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