The main prediction on Pettengill et al
4. Age MPIRICAL R ESULTS Of your own You NCONDITIONAL In place of C ONDITIONAL CAPM Yards ODELS Inside L ATIN A MERICA Elizabeth QUITY M ARKETS
Which part presents empirical outcome of quoting this new unconditional cross-sectional relationship ranging from profile betas and you will efficiency with the Argentinean, Brazilian, Chilean and you may Mexican equity places. ten This new econometric requirements to check on the newest UCAPM model is actually created on three values estimation approach revealed into the point 3.
Tables 2 expose result of get across-sectional regressions ranging from portfolio efficiency and betas associated on the Latin Western inventory locations significantly less than analysis. Also, the lower Roentgen-squares demonstrated because of the get across-sectional regressions suggest that the brand new design might possibly be often misspecified or most exposure activities apart from beta is needed to establish the latest tradeoff anywhere between chance and you may get back.