An Examination of Cross-Sectional Realized Stock Returns Using a Varying-Risk Beta Model

Shelly W Howton and David R Peterson

The Financial Review, 1998, vol. 33, issue 3, 199-212

Abstract: Using the dual-beta model of Bhardwaj and Brooks (1993), this study examines the cross-section of realized stock returns. Bull-market betas are significantly positively related to returns and, except for some models in January, bear-market betas are significantly negatively related to returns. These relationships are not lost even after other independent variables, including size, book-to-market equity, and an earnings-price ratio, are added to the cross-sectional regressions. Book-to-market equity is an important factor in bear, but not bull, markets. Size is important in January and in bear markets during February through December. Copyright 1998 by MIT Press.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:33:y:1998:i:3:p:199-212

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