Pettengill, Glenn N.; Sundaram, Sridhar; Mathur, Ike - In: Journal of Financial and Quantitative Analysis 30 (1995) 01, pp. 101-116
Unlike previous studies, this paper finds a consistent and highly significant relationship between beta and cross-sectional portfolio returns. The key distinction between our tests and previous tests is the recognition that the positive relationship between returns and beta predicted by the...