%0 Journal Article
	%A Ioan Popa and  Radu Lupu and  Cristiana Tudor
	%D 2010
	%J International Journal of Economics and Management Engineering
	%B World Academy of Science, Engineering and Technology
	%I Open Science Index 47, 2010
	%T An Investigation into the Role of Market Beta in Asset Pricing: Evidence from the Romanian Stock Market
	%U https://publications.waset.org/pdf/4521
	%V 47
	%X In this paper, we apply the FM methodology to the
cross-section of Romanian-listed common stocks and investigate the
explanatory power of market beta on the cross-section of commons
stock returns from Bucharest Stock Exchange. Various assumptions
are empirically tested, such us linearity, market efficiency, the “no
systematic effect of non-beta risk" hypothesis or the positive
expected risk-return trade-off hypothesis. We find that the Romanian
stock market shows the same properties as the other emerging
markets in terms of efficiency and significance of the linear riskreturn
models. Our analysis included weekly returns from January
2002 until May 2010 and the portfolio formation, estimation and
testing was performed in a rolling manner using 51 observations (one
year) for each stage of the analysis.
	%P 2138 - 2141