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October 20, 2025Journal of Economics Finance and Accounting Studies

Beyond Linearity: Dynamic Evidence on Beta Instability and State-Dependent Risk Pricing

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Authors

HBHatem BrikTaibah University

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Implication

Analysis reveals non-linear beta-return dynamics in U.S. equities, suggesting implications for emerging markets.

Key Points

  • Findings show a non-linear and time-varying beta-return relationship in major U.S. firms, indicating a challenge to CAPM assumptions.
  • The analysis identifies that traditional expectations of linearity are violated under conditions of asymmetric volatility and behavior-based frictions.
  • Using a combination of quantile regression and a Markov-Switching AR model, the study offers insights into latent market regimes.
  • These findings highlight the need for adaptive risk monitoring frameworks in both developed and emerging market contexts.

Cite This Study

Hatem Brik (2025) studied this question.

synapsesocial.com/papers/68f58f68ece7a5b64f47159dhttps://doi.org/10.32996/jefas.2025.7.6.9
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Also Consider

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  3. 3Conventional and downside CAPM with higher-order moments: Evidence from emerging markets2024
  4. 4Rethinking Beta: A Causal Take on CAPM2025
  5. 5Asset Prices When Investors Underestimate Discount Rate Dynamics2026