A time-varying perspective on the CAPM and downside betas

Hsiu-Jung Tsai, Ming-Chi Chen and Chih-Yuan Yang

International Review of Economics & Finance, 2014, vol. 29, issue C, 440-454

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.

Keywords: Downside beta; CAPM beta; Time-varying; DCC; Developed countries (search for similar items in EconPapers)
JEL-codes: C32 F30 G12 G15 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:29:y:2014:i:c:p:440-454

DOI: 10.1016/j.iref.2013.07.006

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