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Khataybeh, MAbdulaziz, MMarashdeh, Z (2019). 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, ZyadKhataybeh, Mohammad A. Abdulaziz, Mohamad Marashdeh, ZyadKhataybeh, Mohammad A. Abdulaziz, Mohamad Marashdeh, Zyad (2019). "Cross-Sectional Relationship Between Beta and Realized Returns in Emerging Markets" Applied Economics Quarterly, vol. 65no. 2, 2019 pp. 115-137. https://doi.org/10.3790/aeq.65.2.115
Khataybeh, MAbdulaziz, MMarashdeh, Z (2019). Cross-Sectional Relationship Between Beta and Realized Returns in Emerging Markets. Applied Economics Quarterly, Vol. 65 (Issue 2), pp 115-137. 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)

Additional Information

Article Details

Pricing

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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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