The Conditional Relation between Beta and Returns in the Hong Kong Stock Market
In this dissertation some famous empirical studies of CAPM are reviewed. The validity of CAPM is further examined from the period of 2002 to 2006 for the HK Stock Exchange by utilizing the methodology suggested by Pettengill et al. (1995). I find that portfolio beta does play a significant role in e...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2007
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| Online Access: | https://eprints.nottingham.ac.uk/21168/ |
| _version_ | 1848792199674724352 |
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| author | HO, Wai Kit |
| author_facet | HO, Wai Kit |
| author_sort | HO, Wai Kit |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | In this dissertation some famous empirical studies of CAPM are reviewed. The validity of CAPM is further examined from the period of 2002 to 2006 for the HK Stock Exchange by utilizing the methodology suggested by Pettengill et al. (1995). I find that portfolio beta does play a significant role in explaining the cross-sectional returns under the condition that the market movement is taken into account. There is a positive significance beta-return relationship during the up market while there is a negative significance beta-return relationship during the down market. This significance conditional result is contradicted with the early empirical result studied by Black et al. (1972) and Fama and MacBeth (1973). Nevertheless, it should be noted that those empirical tests of CAPM have been seriously criticized by Roll (1977) whose argue that CAPM itself is non-testable. |
| first_indexed | 2025-11-14T18:40:37Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-21168 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:40:37Z |
| publishDate | 2007 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-211682018-01-07T10:54:56Z https://eprints.nottingham.ac.uk/21168/ The Conditional Relation between Beta and Returns in the Hong Kong Stock Market HO, Wai Kit In this dissertation some famous empirical studies of CAPM are reviewed. The validity of CAPM is further examined from the period of 2002 to 2006 for the HK Stock Exchange by utilizing the methodology suggested by Pettengill et al. (1995). I find that portfolio beta does play a significant role in explaining the cross-sectional returns under the condition that the market movement is taken into account. There is a positive significance beta-return relationship during the up market while there is a negative significance beta-return relationship during the down market. This significance conditional result is contradicted with the early empirical result studied by Black et al. (1972) and Fama and MacBeth (1973). Nevertheless, it should be noted that those empirical tests of CAPM have been seriously criticized by Roll (1977) whose argue that CAPM itself is non-testable. 2007 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/21168/1/HO%2C_Wai_Kit___id._4057200_.pdf HO, Wai Kit (2007) The Conditional Relation between Beta and Returns in the Hong Kong Stock Market. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | HO, Wai Kit The Conditional Relation between Beta and Returns in the Hong Kong Stock Market |
| title | The Conditional Relation between Beta and Returns in the Hong Kong Stock Market |
| title_full | The Conditional Relation between Beta and Returns in the Hong Kong Stock Market |
| title_fullStr | The Conditional Relation between Beta and Returns in the Hong Kong Stock Market |
| title_full_unstemmed | The Conditional Relation between Beta and Returns in the Hong Kong Stock Market |
| title_short | The Conditional Relation between Beta and Returns in the Hong Kong Stock Market |
| title_sort | conditional relation between beta and returns in the hong kong stock market |
| url | https://eprints.nottingham.ac.uk/21168/ |