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Cross-Sectional Relationship Between Beta and Realized Returns in Emerging Markets

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  3. Applied Economics Quarterly
  4. Vol. 65, Issue 2
  5. pp. 115–137

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Khataybeh, M., Abdulaziz, M., Marashdeh, Z. Cross-Sectional Relationship Between Beta and Realized Returns in Emerging Markets. Applied Economics Quarterly, 65(2), 115-137. https://doi.org/10.3790/aeq.65.2.115
Khataybeh, Mohammad A.; Abdulaziz, Mohamad and Marashdeh, Zyad "Cross-Sectional Relationship Between Beta and Realized Returns in Emerging Markets" Applied Economics Quarterly 65.2, , 115-137. https://doi.org/10.3790/aeq.65.2.115
Khataybeh, Mohammad A./Abdulaziz, Mohamad/Marashdeh, Zyad: Cross-Sectional Relationship Between Beta and Realized Returns in Emerging Markets, in: Applied Economics Quarterly, vol. 65, iss. 2, 115-137, [online] https://doi.org/10.3790/aeq.65.2.115
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Cross-Sectional Relationship Between Beta and Realized Returns in Emerging Markets

Khataybeh, Mohammad A. | Abdulaziz, Mohamad | Marashdeh, Zyad

Applied Economics Quarterly, Vol. 65 (2019), Iss. 2 : pp. 115–137

3 Citations (CrossRef)

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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/aeq.65.2.115
Language
English
Pages
23
Keywords

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€ 26.00 (incl. local VAT if applicable)

Author Details

Khataybeh, Mohammad A., Assistant Professor, Department of Finance, The University of Jordan.

Abdulaziz, Mohamad, Finance and Administrative Manager at The Bankers For Brokerage And Financial Investments.

Marashdeh, Zyad, The Hashemite University, Jordan.

Cited By

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    Journal of Governance and Regulation, Vol. 10 (2021), Iss. 2 P.44

    https://doi.org/10.22495/jgrv10i2art4 [Citations: 10]

  2. Board characteristics and firm performance: The case of Jordanian non-financial institutions

    Marashdeh, Zyad | Alomari, Mohammad W. | Aleqab, Mahmoud Mohmad | Alqatamin, Rateb Mohammad

    Journal of Governance and Regulation, Vol. 10 (2021), Iss. 3 P.150

    https://doi.org/10.22495/jgrv10i3art13 [Citations: 10]

  3. Country or bank-specific factors: A study to explain bank performance

    Marashdeh, Zyad | Omet, Ghassan | Haddad, Fayez

    Corporate Governance and Organizational Behavior Review, Vol. 5 (2021), Iss. 2 P.66

    https://doi.org/10.22495/cgobrv5i2p6 [Citations: 2]

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Abstract

Abstract

This paper examines the conditional risk-return relationship caused by the impact of using realized returns as a proxy for expected returns, which requires a separation of negative and positive market premiums. Following the methodology of Pettengill et al. (1995), we test the cross sectional relationship between beta and realized returns on the Amman Stock Exchange (ASE) for ten beta sorted portfolio over the period of January 1993 to December 2016. The empirical results suggest that the traditional two-pass approach produces an insignificant relationship between beta and realized returns in most of the sample period. However, when adjusting for negative market premiums, the results show a significant and consistent relationship for all the testing periods and samples. However, a guaranteed reward for holding extra risk occurred only in the period 2001 –2008, which suggests an assurance of positive risk-return tradeoff during bull markets.

JEL Classifications: G11, G12, G15, C21

Asset Pricing, Emerging Markets, Conditional Relationship, Beta, Market Premium

Table of Contents

Section Title Page Action Price
Mohammad A. Khataybeh / Mohamad Abdulaziz / Zyad Marashdeh: Cross-Sectional Relationship Between Beta and Realized Returns in Emerging Markets 1
Abstract 1
1. Introduction 1
2. Related Literature 3
3. Methodology 5
4. Data and Portfolio Construction 7
5. Findings and Discussion 8
5.1 Descriptive Statistics 8
5.2 Empirical Findings 9
5.2.1 Traditional Two-Pass Regression Approach 9
5.2.2 Conditional Approach 1
5.3 Positive Risk-Return Tradeoff 1
6. Conclusion 1
References 1
Appendix I 1
Appendix II 2

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