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Beta and returns revisited: Evidence from the German stock market

  • Elsas, Ralf
  • El-Shaer, Mahmoud
  • Theissen, Erik

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File URL: http://www.sciencedirect.com/science/article/B6VGT-46VBS9P-1/2/466433f958ca2478f934c251f7ab855b
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Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 13 (2003)
Issue (Month): 1 (February)
Pages: 1-18

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Handle: RePEc:eee:intfin:v:13:y:2003:i:1:p:1-18
Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

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  1. Gabriel Hawawini & Donald B. Keim, . "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 7-97, Wharton School Rodney L. White Center for Financial Research.
  2. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
  3. Kent Daniel & Sheridan Titman, 1996. "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," NBER Working Papers 5604, National Bureau of Economic Research, Inc.
  4. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
  5. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
  6. Dusan Isakov, 1999. "Is beta still alive? Conclusive evidence from the Swiss stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 202-212.
  7. Edwin J. Elton, 1999. "Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 54(4), pages 1199-1220, 08.
  8. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
  9. Boudoukh, Jacob & Richardson, Matthew & Smith, Tom, 1993. "Is the ex ante risk premium always positive? *1: A new approach to testing conditional asset pricing models," Journal of Financial Economics, Elsevier, vol. 34(3), pages 387-408, December.
  10. Steven L. Heston & K. Geert Rouwenhorst & Roberto E. Wessels, 1999. "The Role of Beta and Size in the Cross-Section of European Stock Returns," European Financial Management, European Financial Management Association, vol. 5(1), pages 9-27.
  11. Fletcher, Jonathan, 2000. "On the conditional relationship between beta and return in international stock returns," International Review of Financial Analysis, Elsevier, vol. 9(3), pages 235-245.
  12. Affleck-Graves, J. F. & Bradfield, D. J., 1993. "An examination of the power of Univariate tests of the CAPM: A simulation approach," Journal of Economics and Business, Elsevier, vol. 45(1), pages 17-33, February.
  13. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-55, July.
  14. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March.
  15. Hodoshima, Jiro & Garza-Gomez, Xavier & Kunimura, Michio, 2000. "Cross-sectional regression analysis of return and beta in Japan," Journal of Economics and Business, Elsevier, vol. 52(6), pages 515-533.
  16. Pettengill, Glenn N. & Sundaram, Sridhar & Mathur, Ike, 1995. "The Conditional Relation between Beta and Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 101-116, March.
  17. Schiereck, D. & Weber, M., 1995. "Zyklische und antizyklische Handelsstrategien am deutschen Aktienmarkt," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35478, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
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