The Conditional Beta and the Cross‐Section of Expected Returns
研究1963年7月至2004年12月期间，条件贝塔与股票预期收益率的横截面关系，发现两者呈显著正相关，高贝塔组合月收益比低贝塔组合高0.89%至1.01%，且控制其他因素后仍显著。
We examine the cross‐sectional relation between conditional betas and expected stock returns for a sample period of July 1963 to December 2004. Our portfolio‐level analyses and the firm‐level cross‐sectional regressions indicate a positive, significant relation between conditional betas and the cross‐section of expected returns. The average return difference between high‐ and low‐beta portfolios ranges between 0.89% and 1.01% per month, depending on the time‐varying specification of conditional beta. After controlling for size, book‐to‐market, liquidity, and momentum, the positive relation between market beta and expected returns remains economically and statistically significant.