| dc.creator | SANDOVAL A.,EDUARDO | |
| dc.creator | SAENS N.,RODRIGO | |
| dc.date | 2004-04-01 | |
| dc.date.accessioned | 2020-02-17T15:32:17Z | |
| dc.date.available | 2020-02-17T15:32:17Z | |
| dc.identifier | https://scielo.conicyt.cl/scielo.php?script=sci_arttext&pid=S0717-68212004012200003 | |
| dc.identifier.uri | https://revistaschilenas.uchile.cl/handle/2250/130108 | |
| dc.description | Using the approach of Pettengill et al. (1995), we analyze the un-conditional versus conditional cross-sectional CAPM relationship between portfolio beta-risk and return in the Argentinean, Brazilian, Chilean, and Mexican stock markets. We develop extensions to the original model to control for extra risk factors documented in the empirical literature: size, book-to-market ratio and momentum. The paper also presents the first testing of the market integration hypothesis among the Latin American stock markets. The results show that the conditional CAPM is a dominant approach even after controlling for risk factors different from beta. Statistically significant asymmetries are found, however, in the beta-risk premium between up and down markets. Additional findings suggest that the degree of stock market integration among Latin American markets falls during downturns | |
| dc.format | text/html | |
| dc.language | en | |
| dc.publisher | Instituto de Economía, Pontificia Universidad Católica de Chile | |
| dc.relation | 10.4067/S0717-68212004012200003 | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.source | Cuadernos de economía v.41 n.122 2004 | |
| dc.subject | Risk | |
| dc.subject | Return | |
| dc.subject | Stock Market Integration | |
| dc.title | THE CONDITIONAL RELATIONSHIP BETWEEN PORTFOLIO BETA AND RETURN: EVIDENCE FROM LATIN AMERICA | |
