English, Article edition: MODELING THE RISK AND RETURN RELATION CONDITIONAL ON MARKET VOLATILITY AND MARKET CONDITIONS DON U. A. GALAGEDERA; ROBERT FAFF

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Physical Description
  • article
Language
  • English

Edition details

Title
  • MODELING THE RISK AND RETURN RELATION CONDITIONAL ON MARKET VOLATILITY AND MARKET CONDITIONS
Author
  • DON U. A. GALAGEDERA
  • ROBERT FAFF
Physical Description
  • article
Notes
  • This paper investigates whether the risk-return relation varies, depending on changing market volatility and up/​down market conditions. Three market regimes based on the level of conditional volatility of market returns are specified â "low", "neutral" and "high". The market model is extended to allow for these three market regimes and a three-beta asset-pricing model is developed. For a set of US industry sector indices using a cross-sectional regression, we find that the beta risk premium in the three market volatility regimes is priced. These significant results are uncovered only in the pricing model that accommodates up/​down market conditions.
  • CAPM, conditional market volatility, modeling conditional betas
  • RePEc:wsi:ijtafx:v:08:y:2005:i:01:p:75-95
Language
  • English
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