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An examination of the cross-sectional relationship of beta and return: UK evidence

Article Abstract:

A study of the conditional relationship between beta and return in the United Kingdom stock returns indicates no proof of a major risk premium on beta when the unconditional relationship between beta and return is examined. However, a vital relationship between beta and return has been noted when the sample was divided into periods based on whether the excess market return is negative or positive. The relationship is also observed to be more aggressive in months when the excess market return is negative than when it is positive.

United Kingdom, Reports, Risk (Economics), Economic research, Return on investment, Rate of return

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The effect of economic regimes on the relation between term structure and real activity in Japan

Article Abstract:

The findings of the study on the effect of economic regimes on the interaction between the term structure of interest rates and future economic activity in Japan stresses the importance of considering the economic environment in testing the term structure theory. By using a bivariate model, the study found that the term structure of interest rates may be used to predict future GDP growth between 1984 and 1991, a time of financial market liberalization and interest rate deregulation.

Interest Rates, Economic policy, Microeconomics

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Cross-sectional regression analysis of return and beta in Japan

Article Abstract:

Research is presented concerning the use of a regression model to determine the relationship between beta and return in Japanese markets. The influence of positive and negative market returns is discussed.

Research, Markets (Economics), Economic indicators, Regression analysis

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