The Conditional Relation between Beta and Returns in the Hong Kong Stock Market

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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...

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Bibliographic Details
Main Author:	HO, Wai Kit
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2007
Online Access:	https://eprints.nottingham.ac.uk/21168/

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