Results 161 to 170 of about 200 (184)
Some of the next articles are maybe not open access.
Examining significance of “downside beta” as a measure of risk – evidence from Indian equity market
International Journal of Emerging Markets, 2023PurposeMany studies have shown that from a theoretical and empirical point of view, downside risk-based measures of risk are better than the traditional ones. Despite academic appeal and practical implications, downside risk has not been thoroughly examined in markets outside developed country markets. Using downside beta as a measure of downside risk,
Sivakumar Menon +3 more
openaire +1 more source
An Investigation of Beta and Downside Beta Based CAPM-Case Study of Karachi Stock Exchange
SSRN Electronic Journal, 2013Sharpe’s (1964) Capital Asset Pricing Model (CAPM) assumes that the relationship between risk and return is positive, linear and significant. However, it is not free from controversies and one of them advocates replacing CAPM’s beta by downside beta based on investors’ preference of downside risk. Roy (1952) debates that investor care for downside risk
Mohammad Tahir +4 more
openaire +1 more source
The Inconvenient Truth of the Downside Beta
2015In this thesis, we perform a robustness test of the interesting ndings by in particular Artavanis (2013), but also Ang et al. (2006) and others, who nd evidence that a downside beta outperforms the CAPM beta in its ability to explain excess stock returns in a test developed by Fama and French (1992).
Ahlstedt, Mikael, Stål, Jonatan
openaire +1 more source
AN ANALYTICAL FRAMEWORK FOR EXPLAINING RELATIVE PERFORMANCE OF CAPM BETA AND DOWNSIDE BETA
International Journal of Theoretical and Applied Finance, 2009Even though investors' view of risk is generally regarded as related to the downside of the return distribution the CAPM beta is still a widely used measure of systematic risk. A number of studies compare the empirical performance of CAPM beta and downside beta in explaining the variation in portfolio returns and report mixed results.
openaire +2 more sources
Conventional and Downside Betas and Higher Co-moments in the Asset Pricing Relations
2020This study examined the cross-sectional relationships between realized returns and systematic risk measures using sub-sectoral indices quoted on Warsaw Stock Exchange. In addition to the classical beta, the aim of the study is also to check the impact of higher order co-moments on the sub-indices pricing. The unconditional risk-return relationships are
openaire +1 more source
SSRN Electronic Journal, 2014
Ang, Chen and Xing have shown in "Downside Risk" that stocks that covary strongly with the market during market declines have high average returns. The reward for bearing downside risk is not simply compensation for regular market beta, nor is it explained by coskewness or liquidity risk, or by size, value, and momentum characteristics.
openaire +1 more source
Ang, Chen and Xing have shown in "Downside Risk" that stocks that covary strongly with the market during market declines have high average returns. The reward for bearing downside risk is not simply compensation for regular market beta, nor is it explained by coskewness or liquidity risk, or by size, value, and momentum characteristics.
openaire +1 more source
Attribution Analysis of Bull/Bear Alphas and Betas with Applications to Downside Risk Management
SSRN Electronic Journal, 2011In this research note, we will discuss a specific asymmetrical model and build an attribution framework which allows relating the effects of asymmetry on Alpha and Beta relative to a benchmark model, the single-index model with its symmetric Alpha and Beta.
openaire +1 more source
Downside Beta and Global Equity Returns
SSRN Electronic Journal, 2016Yigit Atilgan, Turan G. Bali
openaire +1 more source
Does Downside Beta Really Matter?
SSRN Electronic Journal, 2016Yigit Atilgan +2 more
openaire +1 more source
2018
This paper presents the relationship between classical and downside beta coefficients in the context of data generating processes. The theoretical analysis were the basis for determining the relationship between the beta coefficients in the classical and downside framework.
openaire +1 more source
This paper presents the relationship between classical and downside beta coefficients in the context of data generating processes. The theoretical analysis were the basis for determining the relationship between the beta coefficients in the classical and downside framework.
openaire +1 more source