Howton, Shelly W; Peterson, David R - In: The Financial Review 33 (1998) 3, pp. 199-212
Using the dual-beta model of Bhardwaj and Brooks (1993), this study examines the cross-section of realized stock returns. Bull-market betas are significantly positively related to returns and, except for some models in January, bear-market betas are significantly negatively related to returns....