(1992) size effect and conditional CAPM (Pettengill, 1995). It adopts Fama and Macbeth (1973) methodology and uses data of … listed Korean stock (KOSPI). Without considering conditional CAPM, I notice no evidence to support Sharpe-Lintner- Mossin … findings and those of Fletcher (1997) the result of conditional CAPM are same (Pettengill et al., 1995). That is, beta is …