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Downside Beta and Downside Gamma: In Search for a Better Capital Asset Pricing Model [PDF]
Risks, 2021 In the financial world, the importance of “downside risk” and “higher moments” has been emphasized, predominantly in developing countries such as Pakistan, for a substantial period. Consequently, this study tests four models for a suitable capital asset pricing model.
Kazmi, Madiha +3 more
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Sorting Out Downside Beta [PDF]
SSRN Electronic Journal, 2012 This study analyzes various measures of the downside beta of stocks. Downside beta is sometimes defined and estimated in different ways. Theoretically, an approach based on the mean-semi-variance equilibrium model appears superior. Two known alternative approaches are not consistent with the basic principles of coherent risk measures and the properties
Post, G.T. +2 more
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Is Systematic Downside Beta Risk Really Priced? Evidence in Emerging Market Data [PDF]
SSRN Electronic Journal, 2005 Several studies advocating safety first as a major concern to investors propose downside beta risk as an alternative to the traditional systematic risk- beta. Downside measures are concerned with a subset of the data and therefore the results in the studies that consider the downside beta only may be biased. This study addresses this issue by including
Don U.A. Galagedera, Robert D. Brooks
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Analyzing the Relationship between Earnings Attributes, Earnings Beta, Earnings Volatility and Return Downside Risk measures with Earnings Downside Risk [PDF]
مطالعات تجربی حسابداری مالی, 2019 The purpose of this study is to investigate the information content of a new risk measure (earnings downside risk) in financial statement analysis, which is based on the below-expectation variability in earnings. So, the relation between earnings attributes, earnings beta, earnings volatility, return downside risk and negative skewness of stock return ...
mahnam molaei +2 more
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The Downside and Upside Beta Valuation in the Variance-Gamma Model
International Journal of Analysis and Applications, 2021 The paper is aimed to assess the risks and gains of investment portfolio which relate to the impact of a particular asset. We consider the investment portfolios which consist of assets with variance-gamma, gamma distributed and deterministic returns. The
Roman V. Ivanov
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Forecasting downside betas with multi-period components
International Review of Economics & FinanceAccurate forecasts of downside betas are critical for portfolio risk management because investors place greater weight on downside losses versus upside gains.
Yunting Liu, Jiawen Luo
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An Automated Decision Support System for Portfolio Allocation Based on Mutual Information and Financial Criteria. [PDF]
Entropy (Basel)This paper introduces a two-phase decision support system based on information theory and financial practices to assist investors in solving cardinality-constrained portfolio optimization problems.
Kaucic M, Pelessoni R, Piccotto F.
europepmc +2 more sources
Downside Beta and the Cross-sectional Determinants of Listed Property Trust Returns [PDF]
Journal of Real Estate Portfolio Management, 2008 Executive Summary. This study examines the importance of downside beta when seeking to explain variations in listed property trust (LPT) returns in Australia between 1993 and 2005.
Lee, Chyi Lin (R12396) +2 more
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The development of downside accounting beta as a measure of risk [PDF]
Economics and Business Review, 2017 This paper develops a new method for measuring market risk called downside accounting beta (DAB). To test the validity of DAB the method is applied to the financial data for 14 food companies listed on the Warsaw Stock Exchange during a 6-year period.
Rutkowska-Ziarko, Anna, Pyke, Chris
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An online portfolio selection algorithm using beta risk measure and fuzzy clustering [PDF]
Mathematics and Modeling in Finance, 2023 An online portfolio selection algorithm has been presented in this research. Online portfolio selection algorithms are concerned with capital allocation to several stocks to maximize the portfolio return over the long run by deciding the optimal ...
Matin Abdi +2 more
doaj +1 more source