Department of Economics2024-11-1020090046-389210.1111/j.1755-053X.2009.01030.x2-s2.0-70350155726http://dx.doi.org/10.1111/j.1755-053X.2009.01030.xhttps://hdl.handle.net/20.500.14288/16531We examine the cross-sectional relation between conditional betas and expected stock returns for a sample period of July 1963 to December 2004. Our portfolio-level analyses and the firm-level cross-sectional regressions indicate a positive, significant relation between conditional betas and the cross-section of expected returns. The average return difference between high- and low-beta portfolios ranges between 0.89% and 1.01% per month, depending on the time-varying specification of conditional beta. After controlling for size, book-to-market, liquidity, and momentum, the positive relation between market beta and expected returns remains economically and statistically significant.Business, financeJournal Article1755-053X264821300005Q211467