Journal of Emerging Market Finance, 9:2 (2010): 229–255 SAGE Publications Los Angeles London New Delhi Singapore Washington DC DOI: 10.1177/097265271000900205 CAPM in Up and Down Markets: Evidence from Six European Emerging Markets

The pricing of equity in six European emerging capital markets is analysed using both the conventional CAPM and a ‘conditional ’ CAPM wherein up and down markets are separated. International infl uences on the stock markets are also analysed. The empirical evidence from a sample of 1,131 fi rms from the six markets indicates that there exists a signifi cant relationship between beta and returns when up and down markets are separated. The international CAPM performs well in some markets that have become increasingly integrated with the world market. The general implication of the analysis is that beta can be a useful risk-measure for investors and portfolio managers considering investments in emerging markets. JEL Classifi cation: G12, G1