The pricing of equity in six European emerging capital markets is analysed using both the conventional CAPM and a ‘conditional’ CAPM wherein up and down markets are separated. International influences on the stock markets are also analysed. The empirical evidence from a sample of 1,131 firms from the six markets indicates that there exists a significant relationship between beta and returns when up and down markets are separated. The international CAPM performs well in some markets that have become increasingly integrated with the world market. The general implication of the analysis is that beta can be a useful risk-measure for investors and portfolio managers considering investments in emerging markets.
Zhang, J., & Wilhborg, C. (2010, Oct.) CAPM in up and down markets: Evidence from six European emerging markets. Journal of Emerging Market Finance, 9(2): 229-255. doi: 10.1177/097265271000900205