Keywords: beta, skewness, international markets, up and down markets, risk-return relationships, stock markets, risk measures
The international risk-return relationships during up and down markets: a reassessment
Applying a multiple regression model, this paper re-examines the monthly and weekly risk-return relationships of 13 international stock markets during up and down markets. Our model corrects the effects of heteroskedasticity and autocorrelation of the residuals using the method of Newey and West (1987). Our results provide reliable evidence that not only beta, but also unsystematic risk and skewness are useful and relevant risk measures in international stock markets.