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

Posted: 14 Aug 1998

See all articles by Shelly Howton

Shelly Howton

Villanova University - School of Business

David R. Peterson

Florida State University - Department of Finance

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 bear markets during February through December.

JEL Classification: G12

Suggested Citation

Howton, Shelly W. and Peterson, David R., An Examination of Cross-Sectional Realized Stock Returns Using a Varying-Risk Beta Model. Financial Review, August 1998. Available at SSRN: https://ssrn.com/abstract=103105

Shelly W. Howton (Contact Author)

Villanova University - School of Business ( email )

Dept. of Finance
Villanova, PA 19085
United States
610-519-6111 (Phone)
610-519-6881 (Fax)

David R. Peterson

Florida State University - Department of Finance ( email )

Tallahassee, FL 32306-1042
United States
850-644-8200 (Phone)
850-644-4225 (Fax)

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