The study analyzes the beta-return characteristic, considering the asymmetric beta behavior in the up market versus the down market for the Bursa Malaysia (BM). This study uses a sample period from 2001-2015 with two dual-beta models, the capital asset pricing model (CAPM), and the Fama-French, three-factor (FF3F) model, to examine 60 stocks listed on the bourse. The estimated return and beta indicate that most stocks have experienced an increasing (decreasing) beta in the downtrend (uptrend) period. It is inferred that investors are rewarded with a positive risk premium for holding an asset in the down market, while the upside beta carries a negative premium. If news asymmetry captures a significant part of investors' risk perception in the market, there is evidence that a conditional FF3F model is more useful than a conditional CAPM, which is likened to both the dual-beta FF3F and the CAPM in an unconditional context. The purpose of this study is to analyze the beta-return characteristic, taking into account the asymmetric beta behavior in the upmarket versus the down market in the Bursa Malaysia (BM). This study takes place over a period of 15 years from 2001 to 2015 and utilizes dual beta models of CAPM and Fama-French model to examine 60 BM-listed stocks. The estimation of return and beta indicates that majority of stocks have experienced an increasing (decreasing) beta in the downtrend (uptrend) period. It is also inferred that investors are rewarded with positive risk premium for holding the asset in down market, while upside beta carries the negative premium. If news asymmetry is considered to capture a significant part of investors' risk perception in the Malaysian market, the findings constitute evidence that conditional Fama-French model is more useful than the conditional CAPM likened with both dual beta Fama-French 3-factor model and CAPM in unconditional context.

中文翻译：

---

双重测试模型：来自马来西亚股票市场的证据

该研究分析了β收益率特征，并考虑了大马交易所（BM）在上涨市场与下跌市场中的不对称beta行为。这项研究使用2001年至2015年的样本期，通过两个双重Beta模型，资本资产定价模型（CAPM）和Fama-French三因子（FF3F）模型来研究交易所中上市的60只股票。估计的收益率和beta表示大多数股票在下降趋势（上升趋势）期间经历了上升（下降）的过程。可以推断，投资者在低端市场持有资产会获得正的风险溢价，而向上的beta则具有负溢价。如果新闻不对称现象占据了投资者对市场风险认知的重要部分，则有证据表明，有条件的FF3F模型比有条件的CAPM更为有用，在无条件的情况下，它可以与双beta FF3F和CAPM相提并论。这项研究的目的是分析β收益率特征，并考虑到大马交易所（BM）中高端市场与低端市场中β的不对称行为。这项研究从2001年到2015年进行了15年，利用CAPM和Fama-French模型的双重beta模型来研究60家在BM上市的股票。收益率和beta的估计值表明大多数股票在下降趋势（上升趋势）期间经历了上升（下降）的过程。还可以推断，投资者在资产处于低端市场时会获得正的风险溢价，而向上的beta则具有负溢价。如果新闻不对称被认为占据了投资者的很大一部分