"The Relationship between Risk and Return is Conditional upon the Sign of the Excess Market ReturnConclusionTheaffirmative linked is always predicted between beta and expected returns. But this relation isabsolute on the market excess returns when realized returns are used for tests. In this study, amethodology that reflects the confident relation amid beta and returns during up market and thenegative relation during down market is put in place.i) Methodical relation accustomed upon the indication of realized market-portfolio excessreturn.it is originating with the estimate of the Pettengill model with Turkish data. Thus, the analysis givescross-equity-market aid to the evidence that tests of beta need tobe accustomed upon apprehended excess market return.ii) SMP model is considered with Turkish data and an even toughermethodical relation isdirectlylinked amongst portfolio excess return and beta. Theaccustomed not only uponthe sign, but also the extent of realized market portfolio excess return.iii) Therealistic findings strongly suggest that the SMP model may produce more accuratevaluations of asset expected return, associated with direct application of the CAPM. Inturn, superiorcorrectness in reckoning asset expected return may lead to more accurateappraisals of asset intrinsic value, resulting in more lucrative investment conclusions. 16 The Relationship between Risk and Return is Conditional upon the Sign of the Excess Market ReturnReferences? The relationship between return and market value of common stocks.Banz, R. W. (1981).Journal of Financial Economics, 9, 3-18.? Black, F. (1972). Capital market equilibrium.Journal of Business.? The security market plane Bollen, B. (2010). Applied Financial Economics, 20, 1231– 1240.10. ? Stock market anomalies and the pricing of equity on the Tokyo stock exchange. JapaneseFinancial Market Research, Amsterdam: Elsevier Hawawini, G. A. (1991).? Fama, E.& J. Macbeth. (1973). Risk, return and equilibrium. Journal of PoliticalEconomy, 81(3), 607-636.? Fama, E. & K.French. (1992). Thecrosssection of expected stock returns. The Journal ofFinance, 47, 427-465? Basu, S. (1983). The relationship between earnings yield, market value, and return forNYSE common stocks: further evidence. Journal of Financial Economics,12(1), 129-156? Portfolio Management Issued by ICAI.? Fama, E. (1991). Efficient capital market II. Journal of Finance, 46, 1575-1617? Markowitz, H. (1959). Portfolio selection: Efficient diversification of investments. NewYork, NY: Wiley? Pettengill, N.G.S., Sundaram, S. & I. Mathur. (1995). conditional relation between betaand returns. The Journal of Financial and Quantitative Analysis, Penman, Stepen, H.17 The Relationship between Risk and Return is Conditional upon the Sign of the Excess Market Return(1991). An evaluation of accounting rate of return. Journal of Accounting, Auditing andFinance, 49, 1541-1578? Rosenberg, Barr, Kenneth Reid & Roland, Lanstein. (1985). Persuasive evidence ofmarket inefficiency. Journal of Portfolio Management, 11, 9-17? Samarakoon, L. P. (1997). The cross section of expected returns in Sri Lanka. Sri LankanJournal of Management, 12(3), July- September? Sharpe, W. F. (1964) the theory of market equilibrium under conditions of risk. TheJournal of Finance,19, 425–442.18 "