A Reexamination of the Ex Post Risk-Return Tradeoff on Common Stocks

McEnally, Richard W.; Upton, David E.

doi:10.2307/2330511

Cited by 2 publications

(3 citation statements)

References 16 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…They conclude that groupings of ten of more securities increase the stability of beta for a portfolio. Abdymomunov and Morley (2011), Bos and Newbold (1984), Groenewold and Fraser ( 2000), Fabozzi and Francis (1978), Ohlson andRosenberg (1982), andMcEnally andUpton (1979) have confirmed these results and it is widely accepted that beta is indeed unstable and time-varying. This fact serves as one of the central tenets of this research.…”

Section: Literature Reviewsupporting

confidence: 64%

“…In periods of positive market return, the relationship between beta and return should be positive while in periods of negative market return the relation between beta and realized return should be negative. A proper test of the relationship between beta and realized return should distinguish between periods of positive and negative market return (McEnally & Upton, 1979;Pettengill et al, 1995 To address the conditional relation discussed by McEnally and Upton (1979) and Pettengill et al (1995), the sample was divided into the following in-sample sub periods: 1994-September 7, 20002. September 7, 2000-October 9, 20023.…”

Section: Methodsmentioning

confidence: 99%

See 1 more Smart Citation

The Low Beta Anomaly and Estimation Interval

Renfro¹

2019

AFR

View full text Add to dashboard Cite

The purpose of this study was to assess the nature of the relationship between equity beta, and post-estimation return. Specifically, this study sought to address the validity and persistence of the low-beta anomaly across multiple beta estimation intervals. Within the twenty-year sample period from January of 1994 to December of 2013 this research covered ten different beta estimation intervals to determine whether a statistically significant and theoretically consistent relationship existed between equity beta and post-estimation realized return. This research provided two basic conclusions: First, the low-beta anomaly is not robust across multiple beta estimation intervals. Second, with any test of the relationship between beta and return the choice of beta estimation interval matters. Different estimation intervals sometimes provide contradictory empirical results for the same period.

show abstract

Section: Literature Reviewsupporting

confidence: 64%

Section: Methodsmentioning

confidence: 99%

The Low Beta Anomaly and Estimation Interval

Renfro¹

2019

AFR

View full text Add to dashboard Cite

show abstract

“…Similarly, McEnally and Upton (1979) and Pettengill et al (1995) assert that earlier CAPM studies failed to accurately ascertain the relationship between beta and returns, and consequently the beta anomaly, by not disaggregating periods of positive and negative market returns (factoring in the conditional relation between beta and returns). They argue that, given that positive markets periods yield positive beta-return relationships, while negative market periods yield negative beta-return relationships, a reliable test of the beta-return relationship should necessarily distinguish between the two periods (positive and negative market periods) if the results obtained are to adequately explain the beta anomaly (McEnally and Upton 1979;Pettengill et al 1995). While these methodological arguments are important, they appear as tangential issues in the literature on the beta anomaly.…”

Section: Literature Reviewmentioning

confidence: 99%

An Investigation of the Beta Anomaly in Emerging Markets: A South African Case

Segojane

Ndlovu

2022

JRFM

View full text Add to dashboard Cite

High-risk stocks tend to provide lower returns than low-risk stocks on a risk-adjusted basis. These results (referred to as the low-beta anomaly) run counter to theoretical expectations. This paper examines the beta anomaly in one of the largest emerging markets in Africa, the Johannesburg Stock Exchange (JSE). It employs both time-series and cross-sectional econometric techniques to analyze the risk–return relationship implied by the CAPM, using data that span over 5 years and 220 companies. To check for robustness, the analysis period was extended to 10 years, and we also applied the Fama–French three-factor model. The findings suggest the existence of the beta anomaly and a negatively sloped SML, indicating that beta is not the only determinant of risk in the South African stock market. We also found positive beta–idiosyncratic volatility (IVOL) correlations. However, after controlling for IVOL and the adverse effects of COVID-19 for an extended study period, the beta anomaly disappeared.

show abstract

A Reexamination of the Ex Post Risk-Return Tradeoff on Common Stocks

Cited by 2 publications

References 16 publications

The Low Beta Anomaly and Estimation Interval

The Low Beta Anomaly and Estimation Interval

An Investigation of the Beta Anomaly in Emerging Markets: A South African Case

Contact Info

Product

Resources

About