Research on Beta characteristics and the relationship between Beta and stock returns in different market states
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    Abstract:

    This paper analyses the characteristics of Beta in different industries under different market states and tests the relationship between returns and Beta using the data of Chinese stock market. When market states are introduced, the explanation power of conditional CAPM improved significantly. The conditional CAPM predicts a positive [negative]relation between Beta and returns when the market state is bull [bear]. Beta is still an important measure of risk

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