Results 151 to 160 of about 200 (184)

An alternative perspective on the relationship between downside beta and CAPM beta

Emerging Markets Review, 2007
Abstract In this paper we derive relationships between the CAPM beta and three measures of downside risk discussed in the literature. The relationships are derived assuming data generating processes in the mean-variance and mean-semivariance frameworks.
Don Galagedera
exaly   +2 more sources

Downside Beta and Valuation-Based Property Returns

Pacific Rim Property Research Journal, 2009
This study aims to examine the ability of downside beta in explaining the Australian direct property returns with addressing the smoothing issue. Utilising the quarterly IPD/PCA Australian property indices over 1995-2008, the results reveal that smoothed and unsmoothed downside betas are statistically distinguishable.
Chyi Lin Lee
exaly   +2 more sources

Traditional beta, downside risk beta and market risk premiums

Quarterly Review of Economics and Finance, 2004
Abstract The article develops a downside risk asset-pricing model, which is based on Conditional-VaR (Mean-shortfall) risk measure. As in the traditional model the model leads to a monetary separation and yields a CVaR beta analogous to the traditional beta.
Guy Kaplanski
exaly   +2 more sources

A time-varying perspective on the CAPM and downside betas

International Review of Economics and Finance, 2014
Abstract In the current study, we focus on the capital asset pricing model (CAPM) beta and downside betas. The empirical results of market index returns in the international samples of 23 developed countries exhibit significant differences between the CAPM and downside betas, indicating that these models capture distinct risks.
Tsai, Hsiu-Jung, Chen, Ming-Chi, Yang, Chih-Yuan   +2 more
exaly   +2 more sources

Does downside beta matter in asset pricing?

Applied Financial Economics, 2007
By carefully choosing a data-generating process and appropriate distributional assumptions, we formulate a nested econometric model to examine how many equities are explained well by the downside beta or a general asymmetric response model rather than the conventional capital asset pricing model (CAPM) beta.
Soosung Hwang, Christian S Pedersen
exaly   +2 more sources

Validating Downside Accounting Beta: Evidence from the Polish Construction Industry

Springer Proceedings in Business and Economics, 2018
This paper applies a method for measuring market risk called Downside Accounting Beta (DAB), previously developed by Rutkowska-Ziarko and Pyke (Econ Bus Rev 3(4):55–65, 2017). DAB shows how changes in the profitability of a sector affect the profitability of a company in that sector. DAB can also be applied to whole market.
Anna Rutkowska-Ziarko
exaly   +2 more sources

A novel downside beta and expected stock returns

International Review of Financial Analysis, 2023
Jinjing Liu
exaly   +2 more sources

Is co-skewness a better measure of risk in the downside than downside beta?

Journal of Multinational Financial Management, 2007
Don Galagedera, Robert D Brooks
exaly   +2 more sources

Market-Beta and Downside Risk

SSRN Electronic Journal, 2017
The plain market-beta was a good predictor of stock returns not only during bull and ordinary markets, but also during bear markets and crashes. Thus, it was indeed a good measure of the hedge against market risk. This plain beta also predicted the subsequent down-beta (i.e., measured only on days when the stock market declined) better than the ...
Yaron Levi, Ivo Welch
openaire   +1 more source

Asymmetric Beta Comovement and Systematic Downside Risk

SSRN Electronic Journal, 2014
In this paper, we document evidence that downside betas tend to comove more than upside betas during a financial crisis, but upside betas tend to comove more than the downside betas during financial booms. We find that the asymmetry between Downside-Beta Comovement and Upside-Beta Comovement is the main driving force for market level skewness.
Eric Jondeau, Qunzi Zhang
openaire   +1 more source