Using the approach of Pettengill et al. (1995), we analyze the un-conditional versus conditional cross-sectional CAPM relationship between portfolio beta-risk and return in the Argentinean, Brazilian, Chilean, and Mexican stock markets. We develop extensiRisk, return, stock market integration

Eduardo Sandoval

Rodrigo Saens

English

Research Papers in Economics

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The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America

http://www.economia.puc.cl/docs/122sanda.pdf

The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America

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