Conventional and downside CAPM: The case of London stock exchange

Many studies on asset pricing have highlighted the importance of downside risk, in line with actual losses investors. In addition, capital model (CAPM), although presented as a universal theory, may provide significantly different rates return bull and bear markets. Using CAPM under conditions could be regarded an alternative measurement valuation approach to risk. This paper investigates conventional approaches risk taking into account measures beta coefficients. A further contribution this research is development testing relationship. For purpose, conditional relationships are proposed which premiums set separately periods. equity data portfolios from United Kingdom, we obtained positive statistically significant premiums. We observed slight advantage over measures. Conditional models evidence premium rising markets negative falling The robustness analysis subperiods indicates that these findings largely unchanged for coefficients, not fulfilled by variance approach.