Abstract
This paper investigates the conditional association between betas and returns in sample of 206
firms listed on the Pakistan Stock Exchange (PSX). The results of this study show that the
relationship between betas and stock returns is flat when tested unconditionally. However, when
the data is split between up and down-market weeks, then there exists a conditional relationship
between risk and returns. The results support the view that beta is still a valid tool for risk
measurement in an emerging market of Pakistan. This paper tests the robustness of the results by
including several other measures of total and unsystematic risk such as variance, skewness,
kurtosis and standard error alongside beta in the conditional CAPM regressions. These
additional tests do not change our main conclusion.
Hassan Sardar, Atta Ullah Shah, Naimat Ullah Khan. (2017) Conditional Relationship Between Beta and Stock Returns in the Pakistan Stock Exchange, Putaj Humanities And Social Science, Volume-24, Issue-1.
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