Is Beta Dead?—Reevaluation of Equity Returns in the US Diversified Financial Sector

Ramesh Mohan, Huong Nguyen and Anup Nandialath

The IUP Journal of Applied Economics, 2013, vol. XII, issue 3, 56-80

Abstract: This study examines the relation between equity returns and fundamental variables by utilizing multifactor asset pricing models. Specifically, it incorporates several variables from prior empirical research to examine the impact of systematic risk on equity returns in the financial sector. The empirical results show that the explanatory power of systematic risk varies by models, but a positive relationship between systematic risk and returns is consistent. At the same time, the study reveals a significant relationship between equity returns and market value, book-to-market equity, earnings yield, leverage factors, sales-to-price ratio, book value per share, and earnings per share.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjae:v:12:y:2013:i:3:p:56-80

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