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Tal Fishman
Tal Fishman
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Can How well does CAPM betta attrackbeta track the risk of a particular market relative to international marketworld markets?

As a part of my reserach I am forming portfolio from market indices. I am interested ifCan the CAPM bettabeta of emerging markets can be less than the onebeta of the developed markets.

When I say CAPM betta I mean the following:

for example ASIA market:?

Expected return(ASia market)=Riskfree rate+ betta*(ReturnAs part of Internationalmy research, I run regressions using market-Riskfree rate)

As indices. I estimate the beta using a regression of MSCI country/region excess returns on the excess returns of the MSCI ACWI. Excess returns are returns minus the risk free rate I take t-bill

As a international martketfree rate (which I take to be the allT-world market index

whenbill rate). When running the followingthis regression, I got afound the following strange result:. While the bettabeta of CHinaChina is less than 1 where, the bettabeta of the USA and of Europe is moreare greater than 1.

Any usefull comments are highly appreciated, Pasha Can anyone please explain this result?

Can CAPM betta attrack the risk of particular market relative to international market?

As a part of my reserach I am forming portfolio from market indices. I am interested if the CAPM betta of emerging markets can be less than the one of the developed markets.

When I say CAPM betta I mean the following:

for example ASIA market:

Expected return(ASia market)=Riskfree rate+ betta*(Return of International market-Riskfree rate)

As a risk free rate I take t-bill

As a international martket I take the all-world market index

when running the following regression, I got a strange result: the betta of CHina is less than 1 where the betta of USA and Europe is more than 1.

Any usefull comments are highly appreciated, Pasha

How well does CAPM beta track the risk of a particular market relative to world markets?

Can the CAPM beta of emerging markets be less than the beta of the developed markets?

As part of my research, I run regressions using market indices. I estimate the beta using a regression of MSCI country/region excess returns on the excess returns of the MSCI ACWI. Excess returns are returns minus the risk-free rate (which I take to be the T-bill rate). When running this regression, I found the following strange result. While the beta of China is less than 1, the beta of the USA and of Europe are greater than 1. Can anyone please explain this result?

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Pasha
Pasha
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Can CAPM betta attrack the risk of particular market relative to international market?

As a part of my reserach I am forming portfolio from market indices. I am interested if the CAPM betta of emerging markets can be less than the one of the developed markets.

When I say CAPM betta I mean the following:

for example ASIA market:

Expected return(ASia market)=Riskfree rate+ betta*(Return of International market-Riskfree rate)

As a risk free rate I take t-bill

As a international martket I take the all-world market index

when running the following regression, I got a strange result: the betta of CHina is less than 1 where the betta of USA and Europe is more than 1.

Any usefull comments are highly appreciated, Pasha