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The Conditional Beta Risk-Return in the Pricing Models of Individual Stocks

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  • Joon Young Song

    (University of Findlay, USA)

  • Tuan Viet Le

    (University of Findlay, USA)

Abstract

This paper finds a significant conditional risk-return relationship even in individual stocks when dual betas based on market conditions are considered in the traditional asset pricing model. The conditional risk-return relationship appears to persist even after adjusting for firm size, total risk, and industry, surpassing the explanatory power of firm size, which has traditionally been identified as a significant variable for returns. Interestingly, this study discovers the so-called November effect instead of the traditional January effect, and in November, beta risk appears to be rewarded in both bull and bear markets regardless of market conditions.

Suggested Citation

  • Joon Young Song & Tuan Viet Le, 2025. "The Conditional Beta Risk-Return in the Pricing Models of Individual Stocks," European Journal of Business and Management Research, European Open Science, vol. 10(2), pages 84-94, March.
    • Handle: RePEc:epw:ejbmr0:v:10:y:2025:i:2:id:52492
    DOI: 10.24018/ejbmr.2025.10.2.2492
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