The purpose of this paper is to examine the relationship between beta and returns in the Athens stock exchange (ASE), taking into account the difference between positive and negative market excess returns' yields. The data were taken from DataStream database and the sample period consists of 12 years divided into four six-year periods such that the test periods do not overlap. Regression analysis is applied, using both the traditional (unconditional) test procedure and the conditional approach.
- market returns
- stock exchange