Tsai, Hsiu-Jung; Chen, Ming-Chi; Yang, Chih-Yuan - In: International Review of Economics & Finance 29 (2014) C, pp. 440-454
In the current study, we focus on the capital asset pricing model (CAPM) beta and downside betas. The empirical results of market index returns in the international samples of 23 developed countries exhibit significant differences between the CAPM and downside betas, indicating that these models...