On the conditional relationship between beta and return in international stock returns

By J. Fletcher. 2000

150 citations recorded by the source corpus.

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A review of research on the negative accounting relationship between risk and return: Bowman's paradox (2002, result): “Several authors have tried to demonstrate that the death of beta has been exaggerated [4,5] because there still exists a positive relationship between beta and return; other authors support the result found by Fama and French [1], proving that there is no correlation between beta and returns [11]; a”
Systematic risk, and oil price and exchange rate sensitivities in Asia-Pacific stock markets (2007, background): “conditional relationship in the domestic and international markets (see Tang and Shum, 2003; Fletcher, 2000; Isakov, 1999; and Pettengill et al, 1995).”
Oil price risk and emerging stock markets (2006, methodology): “conditional relationship. Fletcher (2000) studies the relationship between beta and returns”
Oil prices and transport sector returns: an international analysis (2009, background): “Fletcher (2000) shows that these downside risk concerns also apply at the international level.”
Day-of-the-week effects in emerging stock markets (2006, background): “There may be an asymmetric relationship between stock returns and market risk where positive market returns have a different impact on stock returns than do negative market returns (Fletcher, 2000; Pettengill et al., 1995).”