112 Journal of Financial and Quantitative Analysis TABLE 3 (CRSP Equally-Weigl Total Sample Period R 10+1*的;+Ei All Months 0.0050 201 23 0150 0.0046 073 0.0154 .9536 December 0.3096 Estimates of Slope Coefficients for Up Markets and Down Markets (CRSP Equally-Weighted Index Rn=0+1*5*月+12*(1-6)*+t Panel A. Up Markets Panel B Down Markets 00 12.61 6790000100097 09203715 0.000 0345 pril 0.0344 0.000 0001 0.025 0.0259 5.1200001 -56 00001 2420.0240-0.034253100001 .023 36 Novembe 0.0005 589 00012 -00338 0.0003 Up markets(down markets)are periods of positive(negative)market excess returns. Results from Tables 2 and 4 show that when the testing procedure is adjusted for the conditional nature of the relation between risk(beta) and realized returns, a significant relationship is found between portfolio beta and mean monthly rates of return for the entire 55-year period. Further, this relationship holds acros subperiods and across months in a year, contrary to the inconsistencies observed