Traditional tests of the CAPM following the Fama / MacBeth (1973) procedure are tests of thejoint hypotheses that there is a relationship between beta and realized return and that the marketrisk premium is positive. The conditional test procedure developed by Pettengill / Sundaram/ Mathur (1995)...

The Capital Asset Pricing Model (CAPM) predicts that the expected return on a stock depends on its systematic risk as measured by its beta. However, recent empirical evidence suggests that the relation between beta and realized returns is weak or even non-existent. The traditional two-step...